Unemployment Rates Forecasts – Unobserved Component Models Versus SARIMA Models In Central And Eastern European Countries

Barbara Będowska-Sójka

doi:10.1515/cer-2017-0014

Autor

Barbara Będowska-Sójka Poznan University of Economics and Business, Department of Econometrics

DOI:

https://doi.org/10.1515/cer-2017-0014

Słowa kluczowe:

stopa bezrobocia, modele nieobserwowanych komponentów, modele SARIMA, trafność prognoz

Abstrakt

W artykule porównano prognozy wskaźników stóp bezrobocia w ośmiu krajach Europy Środkowej i Wschodniej. Zastosowano modele nieobserwowanych komponentów i sezonowe modele ARIMA w przesuwanym oknie i postawiono prognozy krótkoterminowe weryfikowane na podstawie trafności prognozy spoza próby. Wykazano, że w przypadku trzech krajów stopa bezrobocia charakteryzuje się bezwarunkową asymetrią. Generalnie w przypadku stosowanych metod, dla połowy badanych szeregów nie znaleziono statystycznie istotnej różnicy w dokładności stawianych prognoz. W pozostałych przypadkach odpowiednio dobrany sezonowy model ARIMA pozwalał na postawienie lepszych prognoz. Ponadto wykazano, że trafność prognoz pogarsza się w okresach gwałtownych wzrostów i spadków stóp bezrobocia, a poprawia się w okresach nieznacznych zmian wielkości tego wskaźnika.

Pobrania

Brak dostępnych danych do wyświetlenia.

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