Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR
While various linear and nonlinear forecasting models exist, multivariate methods like VAR, Exponential smoothing, and Box-Jenkins' ARIMA methodology constitute the widely used methods in time series. This paper employs series of Turkish private consumption, exports and GDP data ranging betwe...
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| פורמט: | Article |
| שפה: | English |
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EconJournals
2020-11-01
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| סדרה: | International Journal of Economics and Financial Issues |
| גישה מקוונת: | http://mail.econjournals.com/index.php/ijefi/article/view/9020 |
| _version_ | 1828020645266456576 |
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| author | Hatice Erkekoglu Aweng Peter Majok Garang Adire Simon Deng |
| author_facet | Hatice Erkekoglu Aweng Peter Majok Garang Adire Simon Deng |
| author_sort | Hatice Erkekoglu |
| collection | DOAJ |
| description |
While various linear and nonlinear forecasting models exist, multivariate methods like VAR, Exponential smoothing, and Box-Jenkins' ARIMA methodology constitute the widely used methods in time series. This paper employs series of Turkish private consumption, exports and GDP data ranging between 1998: Q1 and 2017: Q4 to analyze the forecast performance of the three models using measures of accuracy such as RMSE, MAE, MAPE, Theil's & . Seasonal decomposition and ADF unit root tests were performed to obtain new deseasonalized series and stationarity, respectively. Results offer preference for the use of ARIMA in forecasting, having performed better than VAR and exponential smoothing in all scenarios. Additionally, VAR model provided better forecast accuracy than exponential smoothing on all measures of accuracy except on Thiel's whose VAR values were not computed. Cautionary use of ARIMA for forecasting is recommended.
Keywords: Forecast Evaluation, ARIMA, Exponential Smoothing, VAR
JEL Classifications: C1, E00, C51
DOI: https://doi.org/10.32479/ijefi.9020
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| first_indexed | 2024-04-10T11:41:02Z |
| format | Article |
| id | doaj.art-a088957f07b44cb79a83cbefb82d14a9 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:41:02Z |
| publishDate | 2020-11-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-a088957f07b44cb79a83cbefb82d14a92023-02-15T16:17:32ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382020-11-01106Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VARHatice Erkekoglu0Aweng Peter Majok Garang1Adire Simon DengErciyes UniversityErciyes University While various linear and nonlinear forecasting models exist, multivariate methods like VAR, Exponential smoothing, and Box-Jenkins' ARIMA methodology constitute the widely used methods in time series. This paper employs series of Turkish private consumption, exports and GDP data ranging between 1998: Q1 and 2017: Q4 to analyze the forecast performance of the three models using measures of accuracy such as RMSE, MAE, MAPE, Theil's & . Seasonal decomposition and ADF unit root tests were performed to obtain new deseasonalized series and stationarity, respectively. Results offer preference for the use of ARIMA in forecasting, having performed better than VAR and exponential smoothing in all scenarios. Additionally, VAR model provided better forecast accuracy than exponential smoothing on all measures of accuracy except on Thiel's whose VAR values were not computed. Cautionary use of ARIMA for forecasting is recommended. Keywords: Forecast Evaluation, ARIMA, Exponential Smoothing, VAR JEL Classifications: C1, E00, C51 DOI: https://doi.org/10.32479/ijefi.9020 http://mail.econjournals.com/index.php/ijefi/article/view/9020 |
| spellingShingle | Hatice Erkekoglu Aweng Peter Majok Garang Adire Simon Deng Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR International Journal of Economics and Financial Issues |
| title | Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR |
| title_full | Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR |
| title_fullStr | Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR |
| title_full_unstemmed | Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR |
| title_short | Comparative Evaluation of Forecast Accuracies for ARIMA, Exponential Smoothing and VAR |
| title_sort | comparative evaluation of forecast accuracies for arima exponential smoothing and var |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/9020 |
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