Exploring the Superiority of Traditional Univariate Models Over Multivariate Approaches: A Case Study on HHI Forecasting

DOI

10.2991/978-94-6463-811-0_108How to use a DOI?

Keywords

Herfindahl-Hirschman Index (HHI); Market Concentration; ARIMA Model; VAR Model; Forecasting Accuracy; Time Series Analysis; Real Estate Market; Competition Dynamics

Abstract

The Herfindahl-Hirschman Index (HHI) is a key metric for evaluating market concentration and competitive dynamics, frequently employed in antitrust evaluations, merger analysis, and industry structure research. This study examines the predictive capabilities of univariate and multivariate time series models in forecasting HHI, focusing on a comparative analysis of the Autoregressive Integrated Moving Average (ARIMA) model and the Vector Autoregression (VAR) model. Utilizing real estate sector data from 2011 to 2020, the research assesses forecasting performance using Mean Absolute Error (MAE) and Root Mean Squared Error (RMSE). The empirical results demonstrate that, despite its theoretical advantage in incorporating exogenous variables, the VAR model does not consistently outperform the ARIMA model within the given dataset. The findings highlight that in small-sample scenarios with weak variable correlations, univariate models exhibit greater robustness and efficiency. These insights contribute to the refinement of predictive modeling techniques and provide valuable guidance for policymakers and researchers in the field of market competition analysis.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Zhichen Li
PY  - 2025
DA  - 2025/08/14
TI  - Exploring the Superiority of Traditional Univariate Models Over Multivariate Approaches: A Case Study on HHI Forecasting
BT  - Proceedings of the 2025 5th International Conference on Enterprise Management and Economic Development (ICEMED 2025)
PB  - Atlantis Press
SP  - 999
EP  - 1007
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-811-0_108
DO  - 10.2991/978-94-6463-811-0_108
ID  - Li2025
ER  -