SARIDAKIS, G. and PAPAIOANNOU, G., 2014. Forecasting self employment in the UK. The Empirical Economics Letters, 13 (9), pp. 923 - 930.
In this paper we forecast UK self-employment, using annual data for five decades. We use the autoregressive moving average (ARMA) methodology to produce a forecast three periods into the future (2014-2016). We also express the ARMA model as a state space model and estimate one-step predictions and dynamic forecasts for the same period. We then compare the univariate forecasts with multivariate multi-step ahead forecasts using a vector autoregressive (VAR) methodology. Comparing the multivariate forecasts with the univariate forecasts, we observe that both point to an increase in UK enterprise activity in the future, with the increase being sharper in the former.
This article was published in Empirical Economics Letters and is available here with the kind permission of the publisher.