Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil
In this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling...
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| Format: | Article |
| Language: | English |
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University of Sistan and Baluchestan
2020-06-01
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| Series: | International Journal of Business and Development Studies |
| Subjects: | |
| Online Access: | https://ijbds.usb.ac.ir/article_5435_5b772c23d8535ac41801b8413bd45b28.pdf |
| _version_ | 1797803275128406016 |
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| author | Esmaiel Abounoori Mohsen Ali Heydari |
| author_facet | Esmaiel Abounoori Mohsen Ali Heydari |
| author_sort | Esmaiel Abounoori |
| collection | DOAJ |
| description | In this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling Model under Quadratic loss function, Kullback-Leibler, Hellinger and LINEX trying to address the results if we treat the ‘over-estimation’ and ‘under-estimation’ differently. So, we drive one-step-ahead forecast for Dynamic Linear Model under quadratic, LINEX and Kullback-Leibler losses in Bayesian context. With Normal posterior distribution, our results suggest that, the LINEX loss function may provide better forecasts than conventional Quadratic loss function, Hellinger and Kullback-Leibler loss function, especially in case of having volatility and time-varying parameters.JEL classification: C11, C22, C53, C61, Q47 |
| first_indexed | 2024-03-13T05:19:23Z |
| format | Article |
| id | doaj.art-99b4548e27db442a8b7da37e41b949f5 |
| institution | Directory Open Access Journal |
| issn | 2538-3302 2538-3310 |
| language | English |
| last_indexed | 2024-03-13T05:19:23Z |
| publishDate | 2020-06-01 |
| publisher | University of Sistan and Baluchestan |
| record_format | Article |
| series | International Journal of Business and Development Studies |
| spelling | doaj.art-99b4548e27db442a8b7da37e41b949f52023-06-15T16:56:25ZengUniversity of Sistan and BaluchestanInternational Journal of Business and Development Studies2538-33022538-33102020-06-01121213810.22111/ijbds.2020.54355435Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of OilEsmaiel Abounoori0Mohsen Ali Heydari1Professor of Econometrics & Social Statistics, Department of Economics, Semnan University, Semnan, IranPh. D Student of Econometrics, Semnan University, Semnan-IranIn this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling Model under Quadratic loss function, Kullback-Leibler, Hellinger and LINEX trying to address the results if we treat the ‘over-estimation’ and ‘under-estimation’ differently. So, we drive one-step-ahead forecast for Dynamic Linear Model under quadratic, LINEX and Kullback-Leibler losses in Bayesian context. With Normal posterior distribution, our results suggest that, the LINEX loss function may provide better forecasts than conventional Quadratic loss function, Hellinger and Kullback-Leibler loss function, especially in case of having volatility and time-varying parameters.JEL classification: C11, C22, C53, C61, Q47https://ijbds.usb.ac.ir/article_5435_5b772c23d8535ac41801b8413bd45b28.pdfdynamic linear modellinexkullback-leiblerhelligerquadratic loss functionoil price forecasting |
| spellingShingle | Esmaiel Abounoori Mohsen Ali Heydari Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil International Journal of Business and Development Studies dynamic linear model linex kullback-leibler helliger quadratic loss function oil price forecasting |
| title | Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil |
| title_full | Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil |
| title_fullStr | Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil |
| title_full_unstemmed | Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil |
| title_short | Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil |
| title_sort | comparison of kullback leibler hellinger and linex with quadratic loss function in bayesian dynamic linear models forecasting of real price of oil |
| topic | dynamic linear model linex kullback-leibler helliger quadratic loss function oil price forecasting |
| url | https://ijbds.usb.ac.ir/article_5435_5b772c23d8535ac41801b8413bd45b28.pdf |
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