Forecasting the semiconductor industry cycles by bootstrap prediction intervals |
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Authors: | Wen-Hsien Liu |
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Affiliation: | Institute of International Economics, National Chung Cheng University , Chiayi 621, Taiwan E-mail: whl@ccu.edu.tw |
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Abstract: | In recent years, there has been a recognition that point forecasts of the semiconductor industry sales may often be of limited value. There is substantial interest for a policy maker or an individual investor in knowing the degree of uncertainty that attaches to the point forecast before deciding whether to increase production of semiconductors or purchase a particular share from the semiconductor stock market. In this article, I first obtain the bootstrap prediction intervals of the global semiconductor industry cycles by a vector autoregressive (VAR) model using monthly US data consisting of four macroeconomic and seven industry-level variables with 92 observations. The 24-step-ahead out-of-sample forecasts from various VAR setups are used for comparison. The empirical result shows that the proposed 11-variable VAR model with the appropriate lag length captures the cyclical behaviour of the industry and outperforms other VAR models in terms of both point forecast and prediction interval. |
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Keywords: | business ownership risk attitudes self-employment |
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