Alternative methods for forecasting GDP
AbstractAn 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.
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.
Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00511979.
Date of creation: Dec 2010
Date of revision:
Publication status: Published, Nonlinear Modeling of Economic and Financial Time-Series, Emerald Publishers (Ed.), 2010, Chapiter 5 (29 p.)
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00511979
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
Forecast ; Economic indicators ; GDP ; Euro area ; VAR ; Multivariate k nearest neighbor regression ; Asymptotic normality;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-09-11 (All new papers)
- NEP-CBA-2010-09-11 (Central Banking)
- NEP-ECM-2010-09-11 (Econometrics)
- NEP-EEC-2010-09-11 (European Economics)
- NEP-ETS-2010-09-11 (Econometric Time Series)
- NEP-FOR-2010-09-11 (Forecasting)
- NEP-MAC-2010-09-11 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nicolas Huck & Dominique Guegan, 2005. "On the use of nearest neighbors in finance," Post-Print halshs-00180858, HAL.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.