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Abounoori, Esmaiel, Ali Heydari, Mohsen. (1399). Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil. نشریه علمی دانشگاه سیستان و بلوچستان, 12(1), 21-38. doi: 10.22111/ijbds.2020.5435
Esmaiel Abounoori; Mohsen Ali Heydari. "Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil". نشریه علمی دانشگاه سیستان و بلوچستان, 12, 1, 1399, 21-38. doi: 10.22111/ijbds.2020.5435
Abounoori, Esmaiel, Ali Heydari, Mohsen. (1399). 'Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil', نشریه علمی دانشگاه سیستان و بلوچستان, 12(1), pp. 21-38. doi: 10.22111/ijbds.2020.5435
Abounoori, Esmaiel, Ali Heydari, Mohsen. Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil. نشریه علمی دانشگاه سیستان و بلوچستان, 1399; 12(1): 21-38. doi: 10.22111/ijbds.2020.5435

Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil

International Journal of Business and Development Studies
دوره 12، شماره 1، شهریور 2020، صفحه 21-38    اصل مقاله (1.17 M)
شناسه دیجیتال (DOI): 10.22111/ijbds.2020.5435
نویسندگان
Esmaiel Abounoori1؛ Mohsen Ali Heydari2
1Professor of Econometrics & Social Statistics, Department of Economics, Semnan University, Semnan, Iran
2Ph. D Student of Econometrics, Semnan University, Semnan-Iran
چکیده
In this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling Model under Quadratic loss function, Kullback-Leibler, Hellinger and LINEX trying to address the results if we treat the ‘over-estimation’ and ‘under-estimation’ differently. So, we drive one-step-ahead forecast for Dynamic Linear Model under quadratic, LINEX and Kullback-Leibler losses in Bayesian context. With Normal posterior distribution, our results suggest that, the LINEX loss function may provide better forecasts than conventional Quadratic loss function, Hellinger and Kullback-Leibler loss function, especially in case of having volatility and time-varying parameters.
JEL classification: C11, C22, C53, C61, Q47
کلیدواژه‌ها
Dynamic Linear Model؛ LINEX؛ Kullback-Leibler؛ Helliger؛ Quadratic Loss Function؛ Oil Price Forecasting
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