The Comparison Between VAR and ARIMAX Time Series Models in Forecasting

Section: Research Paper
Issue
Vol. 20 No. 2 (2023): Volume 20 Issue 2
Published
Jun 25, 2025
Pages
249-262

Abstract

The research presented a comparative study in time series analysis and forecasting using VAR models, which depend on the existence of a significant relationship between the studied variables, and ARIMAX models, which depend on the linear effect of the independent variables (model input) on the dependent variable (model output). The models were analyzed using time series data for the Iraqi general budget for the period (2004-2020), which represents foreign reserves and government spending. Time series of government expenditure was forecast for the years (2021-2024) and a comparison was made between the efficiency of the models estimated through the mean square error (MSE) criterion. The analysis was carried out using the MATLAB program, and the results of the analysis concluded that the VAR model was more efficient than the ARIMAX model for this data and the increase in foreign reserves and government spending for the Iraqi will continue during the coming period (2021-2024).

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Authors

Esraa Awni Haydier

Salahaddin University, College of Administration and Economics, Department of Statistics and Informatics. Erbil, Iraq

ORCID
Nasradeen Haj Salih Albarwari

Duhok University, College of Administration and Economics, Department of Statistics and Informatics, Duhok, Iraq

Taha.H Ali

Department of Informatics & Statistic, College of Administration and Economics, Salahaddin University, Erbil,, Iraq

ORCID

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How to Cite

Awni Haydier, E., طه, Haj Salih Albarwari, N., اسراء, Ali, T., & نصرالدين. (2025). The Comparison Between VAR and ARIMAX Time Series Models in Forecasting. IRAQI JOURNAL OF STATISTICAL SCIENCES, 20(2), 249–262. Retrieved from https://rjps.uomosul.edu.iq/index.php/stats/article/view/20634