A Simulation Study on the Performances of Classical Var and Sims-Zha Bayesian Var Models in the Presence of Autocorrelated Errors
A Simulation Study on the Performances of Classical Var and Sims-Zha Bayesian Var Models in the Presence of Autocorrelated Errors作者机构：Department of Mathematics & Statistics The Federal Polytechnic Bida Nigeria
出 版 物：《Open Journal of Modelling and Simulation》 (建模与仿真（英文）)
年 卷 期：2015年第3卷第4期
页 面：146-158页
学科分类：1002[医学-临床医学] 100214[医学-肿瘤学] 10[医学]
主 题：Simulation Performances Vector Autoregression (VAR) Classical VAR Sims-Zha Prior Bayesian VAR (BVAR) Autocorrelated Errors
摘 要：It is well known that a high degree of positive dependency among the errors generally leads to 1) serious underestimation of standard errors for regression coefficients;2) prediction intervals that are excessively wide. This paper set out to study the performances of classical VAR and Sims-Zha Bayesian VAR models in the presence of autocorrelated errors. Autocorrelation levels of (-0.99, -0.95, -0.9, -0.85, -0.8, 0.8, 0.85, 0.9, 0.95, 0.99) were considered for short term (T = 8, 16);medium term (T = 32, 64) and long term (T = 128, 256). The results from 10,000 simulation revealed that BVAR model with loose prior is suitable for negative autocorrelations and BVAR model with tight prior is suitable for positive autocorrelations in the short term. While for medium term, the BVAR model with loose prior is suitable for the autocorrelation levels considered except in few cases. Lastly, for long term, the classical VAR is suitable for all the autocorrelation levels considered except in some cases where the BVAR models are preferred. This work therefore concludes that the performance of the classical VAR and Sims-Zha Bayesian VAR varies in terms of the autocorrelation levels and the time series lengths.
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