Sanayi Uretim Endeksi Yillik Degisiminin Tahminine Istatistiksel Yaklasim

Ozgur Ozel and Mahmut Gunay

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Bu calismada Sanayi Uretim Endeksi (SUE) tahminleri icin basit bir yontem onerilmekte ve bu sekilde elde edilen tahminler gercek zamanli veriler kullanilarak piyasa tahminleriyle karsilastirilmaktadir. Kullanilan yontem yillik SUE degisimi tahminini son 11 aydaki aylik degisimlerin toplami, tahmin edilecek aya ait takvim etkisi ve SUE’de aylik frekansta beklenen degisimin toplami olarak tanimlamaktadir. Yontemin kolay uygulanabilir olmasi oldukca oynak olan aylik degisimi basit istatistiksel yontemlerle tahmin ediyor olmasindan kaynaklanmaktadir. Piyasa tahminleriyle yapilan karsilastirma, sanayi uretiminin sadece zaman serisi ozelliklerinin kullanildigi durumda yapilan tahminlerin makul performans gosterdigine isaret etmektedir. [EN] This note proposes a simple forecast approach for Industrial Production Index (IPI) and compares the forecast performance of the model with market consensus forecasts using real time data. The method decomposes the predicted annual change of IPI into the sum of the latest 11 monthly changes, the calendar effect of the month to be forecast and the expected monthly change. This approach is easily implementable in that the volatile monthly changes are predicted using simple statistical methods. The comparison with market forecasts reveals that predictions solely based on time series properties of industrial production exhibit reasonable forecast performance.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:econot:1521

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