Optimization
Hamed Azizi Ganzagh; Ahmad Jafari Samimi; Zahra Mila Elmi; Amir Mansour Tehranchian
Abstract
Inflation forecasting is one of the most important issues for the economies of countries, As the existing literature suggests, hybrid models will bring better prediction accuracy due to attention to both linear and non-linear dimensions. Furthermore, the use of ARDL model can include lags of other variables ...
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Inflation forecasting is one of the most important issues for the economies of countries, As the existing literature suggests, hybrid models will bring better prediction accuracy due to attention to both linear and non-linear dimensions. Furthermore, the use of ARDL model can include lags of other variables in tandem with having linear features. It should also be noted that LSTM models have a forgetting gate due to their non-linear estimation characteristics, and they can incorporate data with very distant lags in the model. Therefore, the combination of these two models can significantly improve the prediction accuracy. Accordingly, attempts have been made in the current study to compare ARDL, NARX, LSTM and ARDL-D-LSTM models with one another and to introduce a suitable model for predicting Iran's monthly inflation rate in the short-term and long-term time horizon. After estimating the monthly inflation rate of Iran in the period of 4/21/2005 to 8/22/2018 and testing the model on the data for the period of 9/22/2018 to 12/21/ 2020 it was found that the NARX model and the ARDL-D-LSTM hybrid model performed well respectively for short-term time horizon and the long-term horizon according to the RMSE criteria.
Omid Ranjbar; Zahra (Mila) Elmi
Volume 11, Issue 35 , July 2008, , Pages 51-78
Abstract
In this paper, we study per capita GDP convergence in D8 countries. We test for convergence hypothesis using two approaches: Time series model (Augmented Dickey Fuller Test), and distribution model (Theil Inequality index and cross sectional variance). The time series model estimation results show that ...
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In this paper, we study per capita GDP convergence in D8 countries. We test for convergence hypothesis using two approaches: Time series model (Augmented Dickey Fuller Test), and distribution model (Theil Inequality index and cross sectional variance). The time series model estimation results show that Indonesia, Malaysia, and Turkey converge toward the US. The result of convergence hypothesis test between Iran and other D8 countries shows that convergence has occurred between Iran ,Pakistan and Nigeria. Also, stochastic divergence has occurred between Iran, Pakistan, and Bangladesh. The results of distributive models show that the Inequality has been increasing among D8 countries since 1990.
Ahmad Jafari Samimi; Zahra (Mila) Elmi; Arash Hadizade
Volume 9, Issue 32 , October 2007, , Pages 31-53
Abstract
The purpose of this paper is to investigate the effect of some macroeconomic variables on house price index. We apply a macroeconomic model with micro foundations that uses household income, stock price index, building service price index, housing completions, supply of money, and inflation to explain ...
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The purpose of this paper is to investigate the effect of some macroeconomic variables on house price index. We apply a macroeconomic model with micro foundations that uses household income, stock price index, building service price index, housing completions, supply of money, and inflation to explain the changes in house price index. We use the ARDL and the ECM model with the seasonal data for the period 1995-2006 to estimate the speed of convergence to equilibrium. Our findings indicate that the macroeconomic variables can explain the changes in the house price index in Iran, and the sign of estimated coefficients confirm the hypothesis.
