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A Comparative Study on the Forecasting Accuracy of Econometric Models :Domestic Total Freight Volume in South Korea

계량경제모형간 국내 총화물물동량 예측정확도 비교 연구

  • Chung, Sung Hwan (Department of Transportation Engineering, Hanyang University) ;
  • Kang, Kyung Woo (Department of Transportation and Logistics Engineering, Hanyang University)
  • 정성환 (한양대학교 교통공학과) ;
  • 강경우 (한양대학교 교통물류공학과)
  • Received : 2014.02.03
  • Accepted : 2014.11.02
  • Published : 2015.02.28

Abstract

This study compares the forecasting accuracy of five econometric models on domestic total freight volume in South Korea. Applied five models are as follows: Ordinary Least Square model, Partial Adjustment model, Reduced Autoregressive Distributed Lag model, Vector Autoregressive model, Time Varying Parameter model. Estimating models and forecasting are carried out based on annual data of domestic freight volume and an index of industrial production during 1970~2011. 1-year, 3-year, and 5-year ahead forecasting performance of five models was compared using the recursive forecasting method. Additionally, two forecasting periods were set to compare forecasting accuracy according to the size of future volatility. As a result, the Time Varying Parameter model showed the best accuracy for forecasting periods having fluctuations, whereas the Vector Autoregressive model showed better performance for forecasting periods with gradual changes.

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