Applying Diebold–Mariano Test for Performance Evaluation Between Individual and Hybrid Time-Series Models for Modeling Bivariate Time-Series Data and Forecasting the Unemployment Rate in the USA

DOI10.1007/978-3-030-56219-9_29OpenAlexW3109432475MaRDI QIDQ5048393

Firas Ahmmed Mohammed, Moamen Abbas Mousa

Publication date: 16 November 2022

Published in: Contributions to Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-56219-9_29

zbMATH Keywords

hybrid modelunemployment rateARMAX-GARCHXexchange rate Diebold-Mariano (DM) testgeneral error distribution (GED)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series forecasting using a hybrid ARIMA and neural network model
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A test for independence based on the correlation dimension
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