Bayesgil VAR Modelinin Gerçek Zaman Dizileri için Kestirim Amaçlı Kullanılması

Year 2010, Volume: 7 Issue: 2, - , 01.04.2010

Reşat Kasap , Sibel Kavak

Abstract

In this paper, it has been done the application of the forecasting for real time
series using the Bayesian vector autoregressive (BVAR) that is improvised by Litterman
[1,2]. So, for the data, the performance of forecasting for BVAR according to VAR and the
univariate (Box-Jenkins) [3] model has been compared by the known measurement that is
RMSE (root mean square error). Time series that are used for the analysis are the annual
(1925-1999) series of the population, the export for every person, the import for every
person and the ratio of GNP (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

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