comparisons of var model and models created by genetic programming in consumer price index prediction in vietnamvar模型的比较和模型由遗传规划在越南消费者价格指数预测.pdfVIP
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comparisons of var model and models created by genetic programming in consumer price index prediction in vietnamvar模型的比较和模型由遗传规划在越南消费者价格指数预测
Open Journal of Statistics, 2012, 2, 237-250
/10.4236/ojs.2012.23029 Published Online July 2012 (http://www.SciRP.org/journal/ojs)
Comparisons of VAR Model and Models Created by
Genetic Programming in Consumer Price Index
Prediction in Vietnam
Pham Van Khanh
Military Technical Academy, Hanoi, Vietnam
Email: van_khanh1178@
Received May 30, 2012; revised June 30, 2012; accepted July 10, 2012
ABSTRACT
In this paper, we present an application of Genetic Programming (GP) to Vietnamese CPI inflation one-step prediction
problem. This is a new approach in building a good forecasting model, and then applying inflation forecasts in Vietnam
in current stage. The study introduces the within-sample and the out-of-samples one-step-ahead forecast errors which
have positive correlation and approximate to a linear function with positive slope in prediction models by GP. We also
build Vector Autoregression (VAR) model to forecast CPI in quaterly data and compare with the models created by GP.
The experimental results show that the Genetic Programming can produce the prediction models having better accuracy
than Vector Autoregression models. We have no relavant variables (m2, ex) of monthly data in the VAR model, so no
prediction results exist to compare with models created by GP and we just forecast CPI basing on models of GP with
previous data of CPI.
Keywords: Vector Autoregression; Genetic Programming; CPI Inflation; Forecast
1. Introduction appeared in nonlinear time string, especially in the
smooth transition regression. Nevertheless, with the con-
Inflation has great
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