Short-term Industrial Production Forecasting For Turkey

Autor:	Degerli, Ahmet
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	HB Metheodology 131-145 Short-term Forecasting Economic Activity Industrial Production Index Vector Autoregressive models Combination Forecast
Druh dokumentu:	M.S. Thesis
Popis:	This thesis aims to produce short-term forecasts for the economic activity in Turkey. As a proxy for the economic activity, industrial production index is used. Univariate autoregressive distributed lag (ADL) models, vector autoregressive (VAR) models and combination forecasts method are utilized in a pseudo out-of-sample forecasting framework to obtain one-month ahead forecasts. To evaluate the models&rsquo forecasting performances, the relative root mean square forecast error (RRMSFE) is calculated. Overall, results indicate that combining the VAR models with four endogenous variables yields the most substantial improvement in forecasting performance, relative to benchmark autoregressive (AR) model.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://etd.lib.metu.edu.tr/upload/12614689/index.pdf Zobrazit plný text záznamu