LAL BAHADUR SHASTRI INSTITUTE OF MANAGEMENT, DELHI

NOVEMBER 2020

TSA ASSIGNMENT

on

“FORECASTING”

SUBMITTED TO:
DR. PANKAJ KR. VARSHNEY

SUBMITTED BY:
SHILPI MURARKA (420 / 2019)

POSTGRADUATE DIPLOMA IN MANAGEMENT - RESEARCH AND BUSINESS

ANALYTICS (2019-21)
 BELGIUM GDP DATA

GDP Data (Belgium)

Belgium’s GDP (Log)

As Log of Belgium GDP’s Quarterly data, that series is non-stationary, so we will check
stationarity at first difference.

dlnBelgium

At first difference, series seems to have a constant mean, and now we can check AR and MA
processes.
So, we take correlogram of first difference
We can see from Correlogram that ACF and PACF are significant only for 1 level only, so we
must check ARMA levels for those ARIMA (p,d,q) models :- (0,1,1), (1,1,0),(1,1,1)
ARMA Check at (1,1,0) levels

ARMA Check at (0,1,1) levels

ARMA Check at (1,1,1) levels

0,1,1 1,1,0 1,1,1

Adj-R Squared 0.167070 0.164350 0.161863
AIC -1.873673 -1.87067 -1.851220
SBIC -1.768126 -1.74697 -1.710370

As we find that AIC is highest for ARIMA(1,1,1) model we will prefer ARIMA (1,1,1) model
for further forecasts and analysis.
Now we look for coefficients of AR(1), MA(1) and Constant using Conditional
Least Squares

Forecast using E – Views

We have taken data till 2014Q4 as sample and used Forecast function on ARIMA(1,1,1) model
to predict remaining 8 quarters of data and the above picture shows E-Vies Forecast result.

Year Original Value Forecasted Value

2015 4.62E+11 5.60E+11
2016 4.76E+11 5.97E+11
2017 5.04E+11 6.39E+11
2018 5.43E+11 6.86E+11
2019 5.30E+11 7.36E+11