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ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması
[A comparison of VAR and ARIMA Models’ forecasting accuracies]

Author

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  • Bilgili, Faik

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.

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:75609
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    File URL: https://mpra.ub.uni-muenchen.de/75609/1/MPRA_paper_75609.pdf
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    Citations

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    Cited by:

    1. 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.

    More about this item

    Keywords

    ARIMA; VAR; ex-post forecast; ex-ante forecast; forecast accuracy; Turkish economy;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • 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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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