Bayesgil VAR Modelinin Gerçek Zaman Dizileri için Kestirim Amaçlı Kullanılması

Authors : Reşat Kasap, Sibel Kavak

Pages : 0-0

View : 14 | Download : 6

Publication Date : 2010-04-01

Article Type : Research Paper

Abstract :In this paper, it has been done the application of the forecasting for real time series using the Bayesian vector autoregressive insert ignore into journalissuearticles values(BVAR); that is improvised by Litterman [1,2]. So, for the data, the performance of forecasting for BVAR according to VAR and the univariate insert ignore into journalissuearticles values(Box-Jenkins); [3] model has been compared by the known measurement that is RMSE insert ignore into journalissuearticles values(root mean square error);. Time series that are used for the analysis are the annual insert ignore into journalissuearticles values(1925-1999); series of the population, the export for every person, the import for every person and the ratio of GNP insert ignore into journalissuearticles values(gross national product); for export of Turkey. As a result of this study, it may said that the BVAR models can be used as a method to produce appropriate forecasts on time series that have different fluctuations.
Keywords : Time series analysis, forecasting, VAR vector autoregressive, , Bayesian VAR, RMSE criterion