ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması

Bilgili, Faik (2001): ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması. Published in: Journal of Faculty of Economics and Administrative Sciences, Erciyes University No. 17 (2001): pp. 37-53.

Abstract

This paper considers the forecast accuracies of VAR and ARIMA models. The paper, hence, employs monthly Turkish CPI, Exchange Rate and Interest rate variables for the period 1994:1-200:07, and, observes the ex-post forecast values of the relevant variables. To this end, paper first determines the final AR and MA parameters through ACF and PACF estimations, later, identifies the best VAR model among others through Sims, LR and SC, and, AC criteria. Eventually, statistical analyses throughout MAE, MAPE, MSE, RMSE, Theil U1 and Theil U2 criteria evaluations, this paper reveals that VAR forecast is superior to ARIMA forecast for the relevant variables.

• Item Type: MPRA Paper
• English Title: A comparison of VAR and ARIMA Models’ forecasting accuracies
• Language: Turkish
• Keywords: ARIMA, VAR, ex-post forecast, ex-ante forecast, forecast accuracy, Turkish economy
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; 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; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects

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