VAR, ARIMA, Üstsel Düzleme, Karma ve İlave-Faktör Yöntemlerinin Özel Tüketim Harcamalarına ait Ex Post Öngörü Başarılarının Karşılaştırılması

Bilgili, Faik (2002): VAR, ARIMA, Üstsel Düzleme, Karma ve İlave-Faktör Yöntemlerinin Özel Tüketim Harcamalarına ait Ex Post Öngörü Başarılarının Karşılaştırılması. Published in: Dokuz Eylül University, Faculty of Economics and Administrative Sciences Journal , Vol. 17, No. 1 : pp. 185-211.

Abstract

The aim of this study is to compare the ex post forecast accuracies of VAR, ARIMA, ES, Combining and Add-factor methods. In this comparison, the ex post forecasts of 2000:1-2000:4 are obtained by using the data of the Turkish private consumption for the period of 1987:1-1999:4. Beside private consumption, for VAR method, the Turkish GDP data is employed for the same periods. Later, the seasonality and stationarity analyses are run for these two series. The series are seasonally adjusted by the additive decomposition method and found as I(1). In the following steps, the ex post forecast models of these methods are established. Forecast outputs are evaluated by the criteria of MAE, MAPE, MSE, RMSE and Theil U. In conclusion of this analysis, the combining model of VAR-ES is found the best among others.

• Item Type: MPRA Paper
• English Title: A Comparison of Ex-Post Forecast Accuracies for VAR, ARIMA, Exponential Smoothing, Combining and Add-Factor Methods for Private Consumption
• Language: Turkish
• Keywords: VAR, ARIMA, ES, Combining and Add-factor methods, forecast accuracies
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21 - Consumption ; Saving ; Wealth

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