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Bayesgil VAR Modelinin Gerçek Zaman Dizileri icin Kestirim Amaclı Kullanılması (Seri B)

Journal Name:

  • Çankaya University Journal of Science and Engineering

Publication Year:

  • 2010

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
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.
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Abstract (Original Language): 
Bu makalede, Litterman'ın [1,2] ortaya attığı Bayesgil VAR modelinin, gerçek zaman dizileri icin kestirim amaclı bir uygulaması yapılmıştır. Buna göre, veri için BVAR'ın, VAR ve tek degiskenli (Box-Jenkins) [3] modellere gore kestirimleri, bilinen ölçötlerinden, RMSE (ortalama hata karenin kare kokö) kullanılarak karsılastırılmıstır. Analiz icin kullanılan zaman dizileri, Törkiye'nin yıllar itibariyle (1925-1999) nöfus, kisi basına ihracat, kisi basına ithalat ve ihracatın GSMH (gayri safi milli hasıla)'ye oranıdır. Calısmanın sonucu olarak, BVAR modeli, inceleme konusu olan zaman dizileri cçercçevesinde, uygun kestirimler üretmek icin kullanılabilecek bir yöntem oldugu söylenebilir.
FULL TEXT (PDF): 
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  • 2
169-185
  • Turkish

REFERENCES

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