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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2018 Say: 9 Alan: Ekonometri

Selahattin Gri, Engin Bekar
Enflasyon Serisinin Parametrik ve Semi Parametrik Gei Modeli ile Modellenmesi ve ngr Baarlarnn Karlatrlmas
 
Rejimler aras gei modelleri, dorusal olmayan serilerin modellenmesinde sklkla kullanlmaktadr. Son yllara kadar, rejim geilerinin iyi tanmlanm matematiksel fonksiyonlarla yaklatrld parametrik yaklamn sklkla kullanld grlmektedir. Son iki yldr gei modellerine, parametrik olmayan ve semi parametrik yaklamlar da uygulanmaya balamtr. Bu durumda, gei fonksiyonu parametrik olmayan bir biimde belirlenmektedir ve belli bir kalba zorlanmamaktadr. almada, 1995 Ocak - 2008 Aralk dnemi iin TFE(1987=100) bazl enflasyon serisi, parametrik gei modelinin yan sra semi parametrik gei modeli ile de tahmin edilmitir ve her iki modelin ngr baarlar karlatrlmtr.

Anahtar Kelimeler: Dorusal Olmayan Zaman Serisi, Semi parametrik yaklam, Rejim Gei Modelleri, Enflasyon, ngr


Modeling Inflation Series with the Parametric and Semiparametric Transition Models and Comparison of Their Forecasting Performances
 
Transition models are frequently used in the modeling of nonlinear series. Until recent years, it is seen that the parametric approach in which regime transitions are approximated with well-defined mathematical functions is often used. Over the last two years, nonparametric and semiparametric approaches have also been introduced into the transition models. In this case, the transition function is estimated in a nonparametric manner. In this study, the inflation series based on TUFE (1987 = 100) for the period January 1995 - December 2008, is also estimated via semi parametric transition model in addition to the parametric approach and their forecasting performances are compared.

Keywords: Nonlinear Time Series, Semiparametric Approach, Transition Models, Inflation, Forecasting


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