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Flexible regression models and relative forecast performance

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  • Dahl, Christian M.
  • Hylleberg, Svend

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 20 (2004)
Issue (Month): 2 ()
Pages: 201-217

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Handle: RePEc:eee:intfor:v:20:y:2004:i:2:p:201-217

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. Pesaran, M. Hashem & Timmermann, Allan G., 1994. "A generalization of the non-parametric Henriksson-Merton test of market timing," Economics Letters, Elsevier, vol. 44(1-2), pages 1-7.
  2. Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, vol. 69(3), pages 537-73, May.
  3. Christian M. Dahl, 2002. "An investigation of tests for linearity and the accuracy of likelihood based inference using random fields," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 263-284, 06.
  4. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  5. Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, vol. 114(1), pages 141-164, May.
  6. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
  7. James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc.
  8. Aldrin, Magne & Bolviken, Erik & Schweder, Tore, 1993. "Projection pursuit regression for moderate non-linearities," Computational Statistics & Data Analysis, Elsevier, vol. 16(4), pages 379-403, October.
  9. Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
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Cited by:
  1. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
  2. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
  3. Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics.
  4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  5. Kourentzes, Nikolaos, 2013. "Intermittent demand forecasts with neural networks," International Journal of Production Economics, Elsevier, vol. 143(1), pages 198-206.
  6. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
  7. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24.
  8. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.

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