- Cankaya University Journal of Science and Engineering
- Vol: 7 Issue: 2
- Bayesgil VAR Modelinin Gerçek Zaman Dizileri için Kestirim Amaçlı Kullanılması
Bayesgil VAR Modelinin Gerçek Zaman Dizileri için Kestirim Amaçlı Kullanılması
Authors : Reşat Kasap, Sibel Kavak
Pages : 0-0
View : 8 | Download : 3
Publication Date : 2010-04-01
Article Type : Research
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