VAR VS SEM MODELIG OF THE TURKISH ECONOMY: FORECAST COMPARISONS

Yıl 1995, Cilt: 13 , 65 - 84, 31.12.1995

Kıvılcım Metin

Öz

Makaleye ait öz bulunmamaktadır.

Anahtar Kelimeler

VAR VS SEM Modeling

Kaynakça

• Banerjee. A, J. Dolado, J. W- Galbraith and D.F. Hendry (1992) Co-integration, Error Correction and the Econometric Analysis of non-stationary data, OUP, Oxford.
• Clements. M,P. and Hendry, D.F. (1992), Towards a Theory of Economic Forecasting"", Unpublished paper, Oxford Institute of Economics and Statistics.
• Clements, M.P.and Hendry, D.F. (1993a), "On the Limitations of Comparing Mean Square Forecast Errors". Journal of Forecasting, forthcoming.
• Clements, M.P.and Hendry, D.F. (1993b). " Forecasting in Cointegrated Svtems", Unpublished paper, Oxford Institute of Economics and Statistics.
• Chong, YN. and DE. hendw (1986), "Econometric Evaluation of Linear Macroeconomic Models" Review of Economic Studies, 53. pp. 671-690.
• Dickev. D.A. and W.A. Fuller (1981), "Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root", Econometrica, 49. pp. 1057-72.
• Engle, R.F. and C.W. Granger (1987), "Co-integration and Error Correcuon:representation, estimation and testing", Econometrica 55, pp.251-276,
• Engle. R.F. and B.S Yoo (1987), "Forecasting and Testing in Co-integrated Systems", Journal of Econometrics 35. PO. 143-159.
• Fuller, W.A. (1976), Introduction to Statistical Time Series, J, Wiley and Sons, Inc., New York. Litterma_n. R.B . (1986), "Forecast-ing with Bayesian Vector Autoregressions: Five Years of Experience" Journal of Business and Economic Statistics 4, pp. 25-38.
• Mizon, G.E. (1984), 'The Encompassing Approach in Econometrics" in Hendry. D.F. and K.F.Wallis (Eds), Econometrics and guantitative Economics, Basil Blackwell, Oxford.
• Mizon G.E. and J.-F. Richard (1986). "The encompassing principle and its Application to Testing Non-nested Hypothesis, Econometrica, 54, pp.657-678.
• Sampson, M.(1991) " The Effect of Parametre uncertainity on Forecast variances and confidence interval for unit root an Trend stationary time series Models "Jornal of Applied Econometric 6. 67-76.
• Sims, C.A. (1980), "Macroeconomics and Reality", Econometrica, 48, pp. 1-48.
• The Central Bank of Turkey (1992), Research Dept. A note on the inflation forecast"