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Title:Kalman filter or VAR models to predict unemployment rate in Romania?
Authors:ID Simionescu, Mihaela (Author)
Files:.pdf Nase_gospodarstvoOur_economy_2015_Simionescu_Kalman_Filter_or_VAR_Models_to_Predict_Unemployment_Rate_in_Romania.pdf (773,07 KB)
MD5: 098012B15D3B6E713F09E2525F787C9F
PID: 20.500.12556/dkum/26b8fd67-dbbe-4719-ad60-38138da6f462
 
URL https://www.degruyter.com/view/j/ngoe.2015.61.issue-3/ngoe-2015-0009/ngoe-2015-0009.xml
 
Language:English
Work type:Scientific work
Typology:1.01 - Original Scientific Article
Organization:EPF - Faculty of Business and Economics
Abstract:This paper brings to light an economic problem that frequently appears in practice: For the same variable, more alternative forecasts are proposed, yet the decision-making process requires the use of a single prediction. Therefore, a forecast assessment is necessary to select the best prediction. The aim of this research is to propose some strategies for improving the unemployment rate forecast in Romania by conducting a comparative accuracy analysis of unemployment rate forecasts based on two quantitative methods: Kalman filter and vector-auto-regressive (VAR) models. The first method considers the evolution of unemployment components, while the VAR model takes into account the interdependencies between the unemployment rate and the inflation rate. According to the Granger causality test, the inflation rate in the first difference is a cause of the unemployment rate in the first difference, these data sets being stationary. For the unemployment rate forecasts for 2010-2012 in Romania, the VAR models (in all variants of VAR simulations) determined more accurate predictions than Kalman filter based on two state space models for all accuracy measures. According to mean absolute scaled error, the dynamic-stochastic simulations used in predicting unemployment based on the VAR model are the most accurate. Another strategy for improving the initial forecasts based on the Kalman filter used the adjusted unemployment data transformed by the application of the Hodrick-Prescott filter. However, the use of VAR models rather than different variants of the Kalman filter methods remains the best strategy in improving the quality of the unemployment rate forecast in Romania. The explanation of these results is related to the fact that the interaction of unemployment with inflation provides useful information for predictions of the evolution of unemployment related to its components (i.e., natural unemployment and cyclical component).
Keywords:forecasts, accuracy, Kalman filter, Hodrick-Prescott filter, VAR models, unemployment rate
Publication status:Published
Publication version:Version of Record
Year of publishing:2015
Number of pages:str. 3-21
Numbering:Letn. 61, št. 3
PID:20.500.12556/DKUM-68934 New window
ISSN:0547-3101
UDC:330.43:331.56(498)
ISSN on article:0547-3101
COBISS.SI-ID:12017692 New window
DOI:10.1515/ngoe-2015-0009 New window
NUK URN:URN:SI:UM:DK:PTCVR5SF
Publication date in DKUM:13.11.2017
Views:1816
Downloads:391
Metadata:XML DC-XML DC-RDF
Categories:Misc.
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Record is a part of a journal

Title:Naše gospodarstvo. revija za aktualna gospodarska vprašanja
Shortened title:Naše gospod.
Publisher:Ekonomsko-poslovna fakulteta, Društvo ekonomistov Maribor, Ekonomski center Maribor
ISSN:0547-3101
COBISS.SI-ID:751364 New window

Licences

License:CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Link:http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:13.11.2017

Secondary language

Language:Slovenian
Title:Kalmanov filter ali VAR-modeli za napovedovanje stopnje brezposelnosti v Romuniji?
Abstract:V prispevku predstavljamo v praksi pogost ekonomski problem. Ko imamo za isto spremenljivko več napovedi, pri odločanju pa potrebujemo samo eno, je za izbiro najboljše treba te napovedi oceniti. Namen prispevka je predlagati nekaj strategij za izboljšanje napovedi stopnje brezposelnosti v Romuniji s primerjalno analizo točnosti na podlagi dveh kvantitativnih metod, Kalmanovega filtra in vektorskih avtoregresijskih modelov (VAR-modelov). Pri prvi metodi je upoštevan razvoj komponent brezposelnosti, pri VAR-modelih pa medsebojne odvisnosti med stopnjo brezposelnosti in inflacijsko stopnjo. Po Grangerjevem testu vzročnosti je inflacijska stopnja v prvi diferenci vzrok za stopnjo brezposelnosti v prvi diferenci pri stacionarnih podatkih. Za napovedi stopnje brezposelnosti v obdobju 2010-2012 v Romuniji dobimo z VAR-modeli (v vseh različicah VAR-simulacij) bolj točne napovedi kot s Kalmanovim filtrom na osnovi dveh modelov prostora stanj za vse mere točnosti. Upoštevajoč povprečno absolutno tehtano napako, so dinamične stohastične simulacije, uporabljene za napovedovanje brezposelnosti, ki temeljijo na VAR-modelu, najbolj točne. Pri drugi strategiji za izboljšanje začetnih napovedi, ki temelji na Kalmanovem filtru, so uporabljeni popravljeni podatki o brezposelnosti, transformirani s Hodrick-Prescottovim filtrom. Uporaba VAR modelov namesto različic Kalmanovega filtra je najboljša strategija za izboljšanje kakovosti napovedi stopnje brezposelnosti v Romuniji. Medsebojna povezanost med brezposelnostjo in inflacijo namreč ponuja uporabne informacije za napovedi, ki so zanesljivejše kot napovedi na osnovi razvoj brezposelnosti glede na gibanje njenih komponente (naravna brezposelnost in ciklična komponenta).
Keywords:brezposelnost, ekonometrija, modeli, napovedi, točnost, Kalmanov filter, Hodrick-Prescottov filter, VAR-modeli, stopnja brezposelnosti


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  1. Naše gospodarstvo

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