Explaining and Forecasting Investment Expenditure in Canada: Combined Structural and Time Series Approaches, 1961-2000

15 Pages Posted: 24 Aug 2008

See all articles by Asad Islam

Asad Islam

Monash University - Department of Economics

Date Written: August 23, 2008

Abstract

This paper examines the structural flexible accelerator model of investment with time series model. The Box-Jenkins methodology of ARIMA specification has been used for the estimated residuals of the multivariate Flexible Accelerator Model. I then reestimate the time series model and structural model simultaneously to model the Canadian investment over the period and see how the model forecasts and fits well. The results indicate that the combined structural and ARIMA modeling gives better fit to the actual investment forecast than structural or ARIMA modeling by itself.

Keywords: Investment, Accelerator Model, AR, MA, ARIMA, Canada

JEL Classification: C22, E22

Suggested Citation

Islam, Asadul, Explaining and Forecasting Investment Expenditure in Canada: Combined Structural and Time Series Approaches, 1961-2000 (August 23, 2008). Applied Econometrics and International Development, Vol. 7, No. 1, 2007, Available at SSRN: https://ssrn.com/abstract=1249283

Asadul Islam (Contact Author)

Monash University - Department of Economics ( email )

Department of Economics
Monash University
Caulfield East, Victoria
Australia
+61399032783 (Phone)

HOME PAGE: http://users.monash.edu/~asaduli/

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