Article citationsMore>>
Dormann, C.F., Elith, J., Bacher, S., Bachmann, C., Carl, G., Lagourcade, B., Leifao, P.J., Munkemiller, T., McClean, C., Osborne, P.E., Reineking, B., Schroder, B., Skidmore, A.K., Jurell, D. and Lautenbach, S. (2013) Collinearity: A Review of Methods to Deal with It and a Simulation Study Evaluating Their Performance. Ecography, 36, 27-46.http://dx.doi.org/10.1111/j.1600-0587.2012.07348.x
has been cited by the following article:
-
TITLE:
Short Term Forecasting Performances of Classical VAR and Sims-Zha Bayesian VAR Models for Time Series with Collinear Variables and Correlated Error Terms
AUTHORS:
M. O. Adenomon, V. A. Michael, O. P. Evans
KEYWORDS:
Short term, Forecasting, Vector Autoregressive (VAR), Bayesian VAR (BVAR), Sims-Zha Prior, Collinearity, Error Terms
JOURNAL NAME:
Open Journal of Statistics,
Vol.5 No.7,
December
18,
2015
ABSTRACT:
Forecasts can either be short term, medium term or long term. In this work we considered short term forecast because of the problem of limited data or time series data that is often encounter in time series analysis. This simulation study considered the performances of the classical VAR and Sims-Zha Bayesian VAR for short term series at different levels of collinearity and correlated error terms. The results from 10,000 iteration revealed that the BVAR models are excellent for time series length of T=8 for all levels of collinearity while the classical VAR is effective for time series length of T=16 for all collinearity levels except when ρ = -0.9 and ρ = -0.95. We therefore recommended that for effective short term forecasting, the time series length, forecasting horizon and the collinearity level should be considered.
Related Articles:
-
Bineta Jho Diagne, Abid Hakima, Ibtissam El Harch, Soumaya Benmaamar, Bahra Nassiba, Bourkhime Hind, Imad Chakri, Maiouak Moncef, Nada Otmani, Mohammed El Abkari, Mohamed Amine Berraho, Samira El Fakir, Nabil Tachfouti
-
Kouamé Hatrydt Guillaume Dimitri, Kissi Anzouan-Kacou Henriette Ya, Gogan Patricia, Bangoura Aboubacar Demba, Doffou Stanislas Adjeka, Mahassadi Kouame Alassan, Yao Bathaix Fulgence Mamert, Attia Alain Koffi
-
Fossou Jean-Luc Hervé Kouadio, Mamadou Sangare, N’Guessan Nestor Houssou, Marc Ephrem Allialy, Sagbrou Chérubin Djro
-
Mamert Fulgence Yao Bathaix, Dramane Soro, Aboubacar Demba Bangoura, Adjéka Stanislas Doffou, Siaka Koné, Ya Henriette Kissy, Dimitri Hartrydt Kouamé, Aoudi Ousmane Dé, Mahassadi Kouamé Alassane, Attia Koffi Alain, Aya Thérèse N’dri Yoman
-
Edward Owusu, Levina Nyameye Abunya