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The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014

Fahriye ztrk, brahim Tokatlolu, Hakan Naim Ardor.

Abstract
It is important for policymakers to forecast inflation correctly to struggle with it. There is a wide literature about forecasting inflation with minimum error created by central banks and economists. In this paper, the forecast performance of inflation with different tecniques are examined for the Turkish Economy for the period of 1995-2014. The forecast performance of different tecniques are evaluated by root mean square error, mean absolute error, mean absolute percent error and Theil U coefficient. The inflation forecasts are done by ARIMA, Augmented Phillips Curve, New Keynessien Phillips Curve and Triangle Model. The NAIRU (non-accelerating inflation rate of unemployment) variable in Triangle Model is produced by using two different methods which are Hodrick-Prescott Fitler and Time Varying Parameters.

Key words: Inflation Forecast, Phillips Curve, ARIMA, Hodrick-Prescott, triangle model, Kalman filter. JEL Classification: C53, E37



Trkiye Ekonomisi in ARIMA ve Phillips Erisi Modellerinin Enflasyon Tahmin Performanslarnn Karlatrlmas: 1995-2014

Özet
Enflasyonun doru bir ekilde tahmin edilmesi, enflasyonla mcadele konusunda politika yapclar iin olduka nemlidir. Gerek lkelerin merkez bankalar gerekse de akademisyenler enflasyonu en az hata ile tahmin edebilme konusunda geni bir literatrn olumasna katk salamlardr. Bu almada, literatrde yer bulmu farkl enflasyon tahmin modellerinin Trkiyenin 1995-2014 yllar arasnda enflasyon tahmini iin ngr baarlar aratrlmtr. ngr baarlarnn deerlendirilmesinde, kk ortalama kare hata (Root Mean Square Error, RMSE), ortalama mutlak hata (Mean Absolute Error, MAE), ortalama mutlak yzde hata (Mean Absolute Percent Error, MAPE) ve Theil U (Theil Inequality Coeficient) katsay kriterleri kullanlmtr. Trkiyenin enflasyon ngrleri iin ARMA, Genelletirilmi Phillips Erisi,Yeni Keynesyen Phillips Erisi, Hodrick-Prescott filtreleme yntemi ile elde edilen doal isizlik oran (veya NAIRU) kullanlarak elde edilen enflasyonun gen tahmin modeli ve kalman filtreleme yntemi ile elde edilen zamanla deien NAIRU kullanlarak tahmin edilen enflasyonun gen modellerinin rneklem ii ngrlerinin baars karlatrlmtr.

Anahtar Kelimeler: Enflasyon tahmini, Phillips Erisi, ARIMA, Hodrick-Prescott, gen model, Kalman filtresi. JEL Snflamas: C53, E37.


 
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How to Cite this Article
Pubmed Style

Ozturk F, Tokatlioglu I, Ardor HN. [The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]. Ekonomik Yaklasim. 2014; 25(92): 19-53. Turkish. doi:10.5455/ey.35511


Web Style

Ozturk F, Tokatlioglu I, Ardor HN. [The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]. http://www.ekonomikyaklasim.org/?mno=170182 [Access: December 17, 2017]. Turkish. doi:10.5455/ey.35511


AMA (American Medical Association) Style

Ozturk F, Tokatlioglu I, Ardor HN. [The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]. Ekonomik Yaklasim. 2014; 25(92): 19-53. Turkish. doi:10.5455/ey.35511



Vancouver/ICMJE Style

Ozturk F, Tokatlioglu I, Ardor HN. [The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]. Ekonomik Yaklasim. (2014), [cited December 17, 2017]; 25(92): 19-53. Turkish. doi:10.5455/ey.35511



Harvard Style

Ozturk, F., Tokatlioglu, I. & Ardor, H. N. (2014) [The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]. Ekonomik Yaklasim, 25 (92), 19-53. Turkish. doi:10.5455/ey.35511



Turabian Style

Ozturk, Fahriye, Ibrahim Tokatlioglu, and Hakan Naim Ardor. 2014. [The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]. Ekonomik Yaklasim, 25 (92), 19-53. Turkish. doi:10.5455/ey.35511



Chicago Style

Ozturk, Fahriye, Ibrahim Tokatlioglu, and Hakan Naim Ardor. "[The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]." Ekonomik Yaklasim 25 (2014), 19-53. Turkish. doi:10.5455/ey.35511



MLA (The Modern Language Association) Style

Ozturk, Fahriye, Ibrahim Tokatlioglu, and Hakan Naim Ardor. "[The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]." Ekonomik Yaklasim 25.92 (2014), 19-53. Print.Turkish. doi:10.5455/ey.35511



APA (American Psychological Association) Style

Ozturk, F., Tokatlioglu, I. & Ardor, H. N. (2014) [The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014]. Ekonomik Yaklasim, 25 (92), 19-53. Turkish. doi:10.5455/ey.35511



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