使用线性和非线性NNAR和混合随机时间序列模型建模沙特阿拉伯的GDP
Abdullah M Almarashi1, Muhammad Daniyal2, Farrukh Jamal2
1Department of Statistics, Faculty of Science, King Abdulaziz University, Jeddah, Saudi Arabia.
PloS one
|February 23, 2024
概括
神经网络自回归 (NNAR) 模型准确预测沙特阿拉伯的国内生产总值 (GDP) 年增长率,优于其他时间序列方法. 这为经济政策和规划提供了可靠的工具.
科学领域:
- 计量经济学 计量经济学
- 时间序列分析时间序列分析
- 经济预测 经济预测
背景情况:
- 国内生产总值 (GDP) 是反映国家经济增长的关键经济指标.
- 国内生产总值表现出复杂的线性和非线性趋势,需要先进的建模技术.
- 准确预测沙特阿拉伯的GDP年增长率对于金融和经济规划至关重要.
研究的目的:
- 分析和提出一个高效和准确的时间序列方法来建模和预测沙特阿拉伯的GDP年增长率.
- 为了比较各种线性,非线性和混合时间序列模型的性能.
- 确定最佳模型来预测未来的GDP趋势.
主要方法:
- 传统时间序列模型的应用:ARIMA,指数平滑,TBATS和NNAR.
- 使用混合模型,结合单个时间序列方法.
- 使用诊断指标进行模型评估:平均绝对误差 (MAE),根平均平方误差 (RMSE) 和平均绝对百分比误差 (MAPE).
主要成果:
- 神经网络自回归 (NNAR) 模型在其他测试模型中表现出优越的性能.
- 在NNAR中,MAE,RMSE和MAPE值是最低的,这表明准确度很高.
- 根据NNAR (5,3) 模型,预计2023年GDP增长率为1.3%,与国际货币基金组织的估计密切一致.
结论:
- 经济学家和政策制定者建议使用NNAR模型进行知情决策和规划.
- 该研究为监测2022年至2029年GDP波动并确保持续增长提供了定量基础.
- 这项研究将作为未来关于时间序列建模在不同经济环境中的研究的指南.
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