CEU Electronic Theses and Dissertations, 2018
| Author | Agrawal, Varun |
|---|---|
| Title | Gdp Modelling And Forecasting Using Arima : An Empirical Study From India |
| Summary | Gross domestic product (GDP) is one of the most important macroeconomic indicators in an economy. This paper attempts to model the time series of real GDP of Indian economy and subsequently develop forecast to shed light on underlying data generation process. Using publicly available quarterly real GDP data from 1996 to 2017, I estimate various ARIMA models and calculate different forecasts. Results show that for the time period in contention, none of the ARIMA models proves to be strictly significant than other. I go ahead with AR(1) and MA(2) specifications and demonstrate the forecast evolution of real GDP and their residuals under different approaches. All the forecasts seem to be converging in the long run, though in the short run, big shocks like 2008 financial tend to cause a lot of divergence in the system. |
| Supervisor | Ariedo Muco |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2018/agrawal_varun.pdf |
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