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VAR, ARIMA, Üstsel Düzleme, Karma ve İlave-Faktör Yöntemlerinin Özel Tüketim Harcamalarına ait Ex Post Öngörü Başarılarının Karşılaştırılması
[A Comparison of Ex-Post Forecast Accuracies for VAR, ARIMA, Exponential Smoothing, Combining and Add-Factor Methods for Private Consumption]

Author

Listed:
  • Bilgili, Faik

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.

Suggested Citation

  • Bilgili, Faik, 2002. "VAR, ARIMA, Üstsel Düzleme, Karma ve İlave-Faktör Yöntemlerinin Özel Tüketim Harcamalarına ait Ex Post Öngörü Başarılarının Karşılaştırılması [A Comparison of Ex-Post Forecast Accuracies for VAR, A," MPRA Paper 75536, University Library of Munich, Germany, revised 2002.
    • Handle: RePEc:pra:mprapa:75536
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    References listed on IDEAS

    as
    1. Bilgili, Faik, 2000. "Forecasting the Macro Targets of Turkish Economy for the Year 2000: An Application of Box-Jenkins and Exponential Smoothing Methods," MPRA Paper 75532, University Library of Munich, Germany.
    2. Spyros Makridakis & Robert L. Winkler, 1983. "Averages of Forecasts: Some Empirical Results," Management Science, INFORMS, vol. 29(9), pages 987-996, September.
    3. Bilgili, Faik, 2001. "ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması [A comparison of VAR and ARIMA Models’ forecasting accuracies]," MPRA Paper 75609, University Library of Munich, Germany.
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    Cited by:

    1. Hatice Erkekoglu & Aweng Peter Majok Garang & Adire Simon Deng, 2020. "Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR," International Journal of Economics and Financial Issues, Econjournals, vol. 10(6), pages 206-216.

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    More about this item

    Keywords

    VAR; ARIMA; ES; Combining and Add-factor methods; forecast accuracies;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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