Emirati Journal of Business, Economics, & Social Studies

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Vol. 4 No. 1 (2025): Emirati Journal of Business, Economics and Social Studies

Comparative Analysis of ARIMA, VAR, and Linear Regression Models for UAE GDP Forecasting

  • PJ McCloskey
  • Rodrigo Malheiros Remor
Submitted
January 30, 2025
Published
2025-03-06

Abstract

Forecasting GDP is crucial for economic planning and policymaking. This study compares the performance of three widely-used econometric models—ARIMA, VAR, and Linear Regression—using GDP data from the UAE. Employing a rolling forecast approach, we analyze the models’ accuracy over different time horizons. Results indicate ARIMA’s robust long-term forecasting capability, LR models perform better with short-term predictions, particularly when exogenous variable forecasts are accurate. These insights provide a valuable foundation for selecting forecasting models in the UAE’s evolving economy, suggesting ARIMA’s suitability for long-term outlooks and LR for short-term, scenario-based forecasts.

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