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59300

Measuring the Accuracy of Forecasting Using Integrated VAR models

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Last updated: 24 Dec 2024

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Abstract

This study addressed the problem of prediction integration. Different weighting methods are applied to different VAR models. Some economic time series such as unemployment rates, economic growth rates and the general government expenditure series are used to study their effect on each other through the use of VAR , VARX and SVAR models. An evaluation of the integration between predections is presented. The results showed that the combined models prediction is better than normal models. The BICW method is the best combining method.

DOI

10.21608/jsst.2017.59300

Keywords

Combining forecasts – Vector Autoregressive – Weights method

Authors

First Name

Niveen

Last Name

Ali Mohammed Elmor

MiddleName

-

Affiliation

Assistant Lecturer at Statistics, Mathematics and Insurance Department Faculty of Commerce –Port Said University

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Volume

18

Article Issue

العدد الأول - الجزء الثانی

Related Issue

8997

Issue Date

2017-01-01

Receive Date

2019-11-15

Publish Date

2017-01-01

Page Start

407

Page End

434

Print ISSN

2090-5327

Online ISSN

2682-3543

Article File

JSST_Volume 18_Issue العدد الأول - الجزء الثانی_Pages 407-4….pdf

PDF . 1.5MB

Link

https://jsst.journals.ekb.eg/article_59300.html

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https://jsst.journals.ekb.eg/service?article_code=59300

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16

Type

المقالة الأصلية

Type Code

1,048

Publication Type

Journal

Publication Title

مجلة البحوث المالية والتجارية

Publication Link

https://jsst.journals.ekb.eg/

MainTitle

Measuring the Accuracy of Forecasting Using Integrated VAR models

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Type

Article

Created At

22 Jan 2023