Using a GMDH-type neural network and ARIMA model to forecasting GDP in Algeria during the period of 1990-2019

Abstract

Forecasting is a method to predict the future using data and the last information as a tool assists in planning to be effective. GMDH-Type (Group Method of Data Handling) artificial neural network (ANN) and Box-Jenkins method are among the know methods for time series forecasting of mathematical modeling. in the present study GMDH-type neural network and ARIMA method has been used to forecasted GDP in Algeria during the period 1990 to2019 (Time series of quarterly observations on Gross Domestic Product (GDP) is used). Root mean square error (RMSE) was used as performance indices to test the accuracy of the forecast. The empirical results for both models showed that the GMDH model is a powerful tool in forecasting GDP and it provides a promising technique in time series forecasting methods.