ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması

A comparison of VAR and ARIMA Models’ forecasting accuracies

Faik Bilgili

MPRA Paper from University Library of Munich, Germany

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.

Keywords: ARIMA; VAR; ex-post forecast; ex-ante forecast; forecast accuracy; Turkish economy (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C52 C53 E31 E43 (search for similar items in EconPapers)
Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Faculty of Economics and Administrative Sciences, Erciyes University 17 (2001): pp. 37-53

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/75609/1/MPRA_paper_75609.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:75609

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().