Out-of-Sample Forecast Performance as a Test for Nonlinearity in Time Series
AbstractThis article uses a local-information, near-neighbor forecasting methodology as a prediction test for evidence of a noisy, chaotic data-generating process underlying the Divisia monetary-aggregate series. Using a nonparametric method known to perform well with low-dimensional chaotic processes infected by noise, accompanied by a robust test of forecast performance evaluation, the authors compare out-of-sample forecasting accuracy from the local-information method to forecasting accuracy from the best fitting global linear model. Their results fail to substantiate previous claims for determinism in the Divisia monetary-aggregate series because the degree of forecast improvement obtained by the local-information method is not consistent with the hypothesis of a low-dimensional attractor underlying the Divisia data.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 16 (1998)
Issue (Month): 1 (January)
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- Theodore Panagiotidis, 2010.
"An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application,"
Society for Computational Economics, vol. 36(2), pages 121-132, August.
- Theodore Panagiotidis, 2010. "An out-of-sample test for nonlinearity in financial time series: An empirical application," Discussion Paper Series 2010_08, Department of Economics, University of Macedonia, revised Jun 2010.
- Theodore Panagiotidis, 2010. "An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application," Working Paper Series 20_10, The Rimini Centre for Economic Analysis.
- Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006.
"Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models,"
Keele Economics Research Papers
KERP 2006/05, Centre for Economic Research, Keele University.
- Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2007. "Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 601-619.
- Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Discussion Paper Series 2006_6, Department of Economics, Loughborough University, revised Mar 2006.
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