Approximate Nonlinear Forecasting Methods
AbstractWe review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast using nonlinear methods, there are some potentially serious practical challenges. Primary among these are computational difficulties, the dangers of overfit, and potential difficulties of interpretation. In this chapter we discuss these issues in detail. Then we propose and illustrate the use of a new family of methods (QuickNet) that achieves the benefits of using a forecasting model that is nonlinear in the predictors while avoiding or mitigating the other challenges to the use of nonlinear forecasting methods.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
This chapter was published in:
This item is provided by Elsevier in its series Handbook of Economic Forecasting with number 1-09.
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description
Find related papers by JEL classification:
- B0 - Schools of Economic Thought and Methodology - - General
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Alessandro Giovannelli, 2012. "Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies," CEIS Research Paper 255, Tor Vergata University, CEIS, revised 08 Nov 2012.
- Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009.
"Forecasting inflation with gradual regime shifts and exogenous information,"
CREATES Research Papers
2009-03, School of Economics and Management, University of Aarhus.
- González, Andrés & Hubrich, Kirstin & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
- Enders, Walter & Holt, Matthew T., 2011. "Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals," MPRA Paper 31461, University Library of Munich, Germany.
- Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, School of Economics and Management, University of Aarhus.
- Brownlees, Christian T. & Gallo, Giampiero M., 2011.
"Shrinkage estimation of semiparametric multiplicative error models,"
International Journal of Forecasting,
Elsevier, vol. 27(2), pages 365-378.
- Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378, April.
- Gradojevic, Nikola, 2007. "The microstructure of the Canada/U.S. dollar exchange rate: A robustness test," Economics Letters, Elsevier, vol. 94(3), pages 426-432, March.
- González Andrés & Teräsvirta Timo, 2008.
"Modelling Autoregressive Processes with a Shifting Mean,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 12(1), pages 1-28, March.
- Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," BORRADORES DE ECONOMIA 003230, BANCO DE LA REPÚBLICA.
- González, Andrés & Teräsvirta, Timo, 2006. "Modelling autoregressive processes with a shifting mean," Working Paper Series in Economics and Finance 637, Stockholm School of Economics, revised 22 May 2007.
- Timo Terasvirta & Andrés González, . "Modelling autoregressive processes with a shifting mean," Borradores de Economia 420, Banco de la Republica de Colombia.
- Christian T. Brownlees & Giampiero Gallo, 2008.
"Comparison of Volatility Measures: a Risk Management Perspective,"
Econometrics Working Papers Archive
wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
- Teräsvirta, Timo, 2005.
"Forecasting economic variables with nonlinear models,"
Working Paper Series in Economics and Finance
598, Stockholm School of Economics, revised 29 Dec 2005.
- Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.