<abstract xmlns="http://www.w3.org/1999/xhtml"><p> The paper discusses the issue of estimation of exponential trend parameters in terms of its application in the forecast process. Due to the character of a random element, three models were considered: additive, multiplicative, and mixed. For estimating trend parameters, a log transformation method, least squares method, and approximate methods were applied. As a result of computer simulations, high sensitivity of the log transformation method with regard to the assumed random element model was noticed. This method yields the smallest value of ex post error for the multiplicative model but is burdened with a large error for the additive model, where the estimated parameter B takes large values (B > 0.24). In the paper, a new approximate method of estimation of exponential trend parameters is proposed. The method is compared with approximate formulas presented in the paper by Purczyński (2008).</p></abstract>

The paper discusses the issue of estimation of exponential trend parameters in terms of its application in the forecast process. Due to the character of a random element, three models were considered: additive, multiplicative, and mixed. For estimating trend parameters, a log transformation method, least squares method, and approximate methods were applied. As a result of computer simulations, high sensitivity of the log transformation method with regard to the assumed random element model was noticed. This method yields the smallest value of ex post error for the multiplicative model but is burdened with a large error for the additive model, where the estimated parameter B takes large values (B > 0.24). In the paper, a new approximate method of estimation of exponential trend parameters is proposed. The method is compared with approximate formulas presented in the paper by Purczyński (2008).

Approximate Method of Estimation of Exponential Trend Parameters for Forecasting Process Purposes

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The paper discusses the issue of estimation of exponential trend parameters in terms of its application in the forecast process. Due to the character of a...

Approximate Method of Estimation of Exponential Trend Parameters for Forecasting Process Purposes

Data publikacji: 04 lip 2018

Zakres stron: 169 - 181

Otrzymano: 30 paź 2017

Przyjęty: 27 mar 2018

DOI: https://doi.org/10.2478/foli-2018-0013

Słowa kluczowe
exponential trend, parameter estimation, least squares, approximate methods

© 2018 Kamila Bednarz-Okrzyńska, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Approximate Method of Estimation of Exponential Trend Parameters for Forecasting Process Purposes

Data publikacji: 04 lip 2018

Zakres stron: 169 - 181

Otrzymano: 30 paź 2017

Przyjęty: 27 mar 2018

DOI: https://doi.org/10.2478/foli-2018-0013

Słowa kluczoweexponential trend, parameter estimation, least squares, approximate methods

© 2018 Kamila Bednarz-Okrzyńska, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Słowa kluczowe
exponential trend, parameter estimation, least squares, approximate methods