The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market

Francisco F. R. Ramos
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Francisco F. R. Ramos: Faculty of Economics, University of Porto, Portugal

Econometrics from University Library of Munich, Germany

Abstract: This paper compares the out-of-sample forecasting accuracy of five classes of time series models for market shares of the six most important Portuguese car market competitors over differents horizons. As representative time series models I employ a random-walk with drift (Naive), a univariate ARIMA, a near-VAR and a general BVAR. The out-of- sample forecasts are also compared against forecasts generated from structural econometric market share models (SEM). Using four accuracy measures I find the forecasts from the near-VAR and the BVAR models really more accurate. With regard to these models, I could say that the BVAR model is the best for longer forecasts (12-steps ahead), while the n-VAR is superior over the shorter horizon of one to six steps.

Keywords: Accuracy measures; ARIMA; Automobile market; BVAR; Market share; Portugal; Random-walk; SEM; VAR (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1996-04-09
Note: Type of Document - Word for Windows 2.0; prepared on IBM PC ; to print on HP Laser Jet; pages: 21 ; figures: one figure and one table
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