The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market

This paper compares the out-of-sample forecasting accuracy of five classes of time series models for market shares of the six most important Portuguese car market competitors over differents horizons. As representative time series models I employ a random-walk with drift (Naive), a univariate ARIMA, a near-VAR and a general BVAR. The out-of- sample forecasts are also compared against forecasts generated from structural econometric market share models (SEM). Using four accuracy measures I find the forecasts from the near-VAR and the BVAR models really more accurate. With regard to these models, I could say that the BVAR model is the best for longer forecasts (12-steps ahead), while the n-VAR is superior over the shorter horizon of one to six steps.

[1]  Peter J. Danaher,et al.  Predictive accuracy of simple versus complex econometric market share models: Theoretical and empirical results , 1992 .

[2]  Jean-Jacques Lambin,et al.  Part de marché et pression marketing: Vers une stratégie de modélisation , 1989 .

[3]  C. Sims A nine variable probabilistic macroeconomic forecasting model , 1993 .

[4]  Jon A. Brandt,et al.  Price forecasting and evaluation: An application in agriculture , 1983 .

[5]  Peter S. H. Leeflang,et al.  The forecasting accuracy of market share models using predicted values of competitive marketing behavior , 1989 .

[6]  T. Lawson Economics and Reality , 1997 .

[7]  Cornelis A. de Kluyver,et al.  A comparison of the short term forecasting accuracy of econometric and naive extrapolation models of market share , 1987 .

[8]  Francisco F. R. Ramos Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance , 1996 .

[9]  J. Stock,et al.  INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS , 1990 .

[10]  Robert B. Litterman,et al.  Forecasting and Conditional Projection Using Realistic Prior Distributions , 1983 .

[11]  Pami Dua,et al.  Forecasting us home sales using bvar models and survey data on households' buying attitudes for homes , 1995 .

[12]  P. Perron,et al.  Trends and random walks in macroeconomic time series : Further evidence from a new approach , 1988 .

[13]  F. Bliemel Theil's Forecast Accuracy Coefficient: A Clarification , 1973 .

[14]  Robert B. Litterman Forecasting with Bayesian Vector Autoregressions-Five Years of Experience , 1984 .

[15]  Douglas C. Montgomery,et al.  Modeling and Forecasting Time Series Using Transfer Function and Intervention Methods , 1980 .

[16]  Cheng Hsiao,et al.  Causality tests in econometrics , 1979 .

[17]  Chris Chatfield,et al.  Introduction to Statistical Time Series. , 1976 .

[18]  C. Sims Bayesian skepticism on unit root econometrics , 1988 .

[19]  Dominique M. Hanssens,et al.  Market Response Models: Econometric and Time Series Analysis , 1989 .

[20]  Stephen F. LeRoy,et al.  Atheoretical macroeconometrics: A critique , 1985 .