Comparisons of VAR Model and Models Created by Genetic Programming in Consumer Price Index Prediction in Vietnam

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@Article{Khanh:2012:ojos,
  author =       "Pham Van Khanh",
  title =        "Comparisons of {VAR} Model and Models Created by
                 Genetic Programming in Consumer Price Index Prediction
                 in Vietnam",
  journal =      "Open Journal of Statistics",
  year =         "2012",
  volume =       "2",
  number =       "3",
  pages =        "237--250",
  publisher =    "Scientific Research Publishing",
  keywords =     "genetic algorithms, genetic programming, RPI,
                 inflation, vector autoregression, CPI inflation,
                 forecast",
  ISSN =         "2161718X",
  broken =       "http://www.doaj.org/doaj?func=openurl\&genre=article\&issn=2161718X\&date=2012\&volume=02\&issue=03\&spage=237",
  URL =          "http://www.scirp.org/journal/PaperInformation.aspx?PaperID=20739",
  DOI =          "doi:10.4236/ojs.2012.23029",
  size =         "14 pages",
  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 quarterly 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 relevant 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.",
  bibsource =    "OAI-PMH server at www.doaj.org",
  language =     "eng",
  oai =          "oai:doaj-articles:2c6a0df2d2d7e0f272d52d98dfae363a",
}

Genetic Programming entries for Pham Van Khanh

Citations