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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