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Alternative methods for forecasting GDP

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  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Patrick Rakotomarolahy

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Abstract

An empirical forecast accuracy comparison of the non-parametric method, known as multivariate Nearest Neighbor method, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP, through the estimation of economic indicators plugged in the bridge equations, we get more accurate forecasts when using nearest neighbor method. We prove also the asymptotic normality of the multivariate k-nearest neighbor regression estimator for dependent time series, providing confidence intervals for point forecast in time series.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00505165.

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Date of creation: Jul 2010
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Handle: RePEc:hal:cesptp:halshs-00505165

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Keywords: Forecast; economic indicators; GDP; Euro area; VAR; multivariate k-nearest neighbor regression; asymptotic normality.;

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  1. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460461, HAL.
  2. Professor E. Philip Davis, 2002. "Investment and Uncertainty in the G7," NIESR Discussion Papers, National Institute of Economic and Social Research 144, National Institute of Economic and Social Research.
  3. Nicolas Huck & Dominique Guegan, 2005. "On the use of nearest neighbors in finance," Post-Print halshs-00180858, HAL.
  4. Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2000. "The use and abuse of "real-time" data in economic forecasting," Working Papers, Federal Reserve Bank of Dallas 0004, Federal Reserve Bank of Dallas.
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