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. ...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.展开更多
文摘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.
