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Forecasts of the BDI in 2010 -Using the ARIMA-Type Models and HP Filtering  

Mo, Soo-Won (목포대학교 경영대학)
Publication Information
Journal of Korea Port Economic Association / v.26, no.1, 2010 , pp. 222-233 More about this Journal
Abstract
This paper aims at predicting the BDI from Jan. to Dec. 2010 using such econometric techniues of the univariate time series as stochastic ARIMA-type models and Hodrick-Prescott filtering technique. The multivariate cause-effect econometric model is not employed for not assuring a higher degree of forecasting accuracy than the univariate variable model. Such a cause-effect econometric model also fails in adjusting itself for the post-sample. This article introduces the two ARIMA models and five Intervention-ARIMA models. The monthly data cover the period January 2000 through December 2009. The out-of-sample forecasting performance is compared between the ARIMA-type models and the random walk model. Forecasting performance is measured by three summary statistics: root mean squared error (RMSE), mean absolute error (MAE) and mean error (ME). The RMSE and MAE indicate that the ARIMA-type models outperform the random walk model And the mean errors for all models are small in magnitude relative to the MAE's, indicating that all models don't have a tendency of overpredicting or underpredicting systematically in forecasting. The pessimistic ex-ante forecasts are expected to be 2,820 at the end of 2010 compared with the optimistic forecasts of 4,230.
Keywords
BDI; Hodrick-Prescott; ARIMA;
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