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Semiconductor industry cycles: Explanatory factors and forecasting

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  • Aubry, Mathilde
  • Renou-Maissant, Patricia

Abstract

This paper aims to suggest the best forecasting model for the semiconductor market. A wide range of alternative modern econometric modeling approaches have been implemented, and a large variety of criteria and tests have been employed to assess the out-of-sample forecasting accuracy at various horizons. The results suggest that if a VECM can be an interesting source of information, the Bayesian models are superior forecasting tools compared to univariate and unrestricted VAR models. However, for decision makers a spectral method could be a useful tool, which can be easily implemented. In addition, MS-AR models make it possible to obtain valuable forecasts on turning-points in order to adjust the programming of heavy capital and research investments.

Suggested Citation

  • Aubry, Mathilde & Renou-Maissant, Patricia, 2014. "Semiconductor industry cycles: Explanatory factors and forecasting," Economic Modelling, Elsevier, vol. 39(C), pages 221-231.
    • Handle: RePEc:eee:ecmode:v:39:y:2014:i:c:p:221-231
    DOI: 10.1016/j.econmod.2014.02.039
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    Cited by:

    1. Wen-Hsien Liu & Shu-Shih Weng, 2018. "On predicting the semiconductor industry cycle: a Bayesian model averaging approach," Empirical Economics, Springer, vol. 54(2), pages 673-703, March.
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    3. Li, Hongkuan & He, Haiyan & Shan, Jiefei & Cai, Jingjing, 2019. "Innovation efficiency of semiconductor industry in China: A new framework based on generalized three-stage DEA analysis," Socio-Economic Planning Sciences, Elsevier, vol. 66(C), pages 136-148.

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    More about this item

    Keywords

    Univariate and multivariate models; Forecasting accuracy; Industry cycles; Semiconductor industry;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • L63 - Industrial Organization - - Industry Studies: Manufacturing - - - Microelectronics; Computers; Communications Equipment

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