EKONOMETRİK MODELLERLE ENFLASYON TAHMİNİ: PAKİSTAN ÜZERİNE AMPİRİK BİR UYGULAMA

Bu makale Pakistan’daki enflasyonu modellemeyi ve tahmin etmeyi amaçlamaktadır. Bunun için bir takım ekonometrik yaklaşımlar uygulanmış ve sonuçları karşılaştırılmıştır. ARIMA modellerinde p ve/veya q için fazladan gecikme eklenmesi, hesaplanan hata terimlerinin karelerinin toplamını her zaman azaltmadığı görülmüştür. Gecikmeli değerlerle bir model oluşturulduğunda ise bazı gözlemlerin kaybedildiği ortaya çıkmıştır. Sonuçlar ayrıca şunu göstermiştir ki VAR modelleri ARIMA 2,1,2 modellerinden daha iyi performans sergilememekte ve iki faktörlü ARIMA 2,1,2 modeli ARIMA 2,1,2 modelinden az da olsa daha iyi sonuçlar ortaya koymaktadır. Bu çalışma makroekonomik tahmin sorunu üzerine odaklanmasına rağmen elde edilen ampirik sonuçlar küçük ölçekli makroekonometrik modeller için daha genel implikasyonlar taşımaktadır

Anahtar Kelimeler:

Enflasyon modellemesi ve tahmini, ARIMA, VAR

FORECASTING INFLATION THROUGH ECONOMETRIC MODELS: AN EMPIRICAL STUDY ON PAKISTANI DATA

This article aims at modeling and forecasting inflation in Pakistan. For this purpose a number of econometric approaches are implemented and their results are compared. In ARIMA models, adding additional lags for p and/or q necessarily reduced the sum of squares of the estimated residuals. When a model is estimated using lagged variables, some observations are lost. Results further indicate that the VAR models do not perform better than the ARIMA 2, 1, 2 models and, the two factor model with ARIMA 2, 1, 2 slightly performs better than the ARIMA 2, 1, 2 . Although the study focuses on the problem of macroeconomic forecasting, the empirical results have more general implications for small scale macroeconometric models.

Keywords:

Modeling and Forecasting Inflation, ARIMA, VAR,

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