The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting
AbstractForecasting current quarter GDP is a permanent task inside the central banks. Many models are known and proposed to solve this problem. Thanks to new results on the asymptotic normality of the multivariate k-nearest neighbor regression estimate, we propose an interesting and new approach to solve in particular the forecasting of economic indicators, included GDP modelling. Considering dependent mixing data sets, we prove the asymptotic normality of multivariate k-nearest neighbor regression estimate under weak conditions, providing confidence intervals for point forecasts. We introduce an application for economic indicators of euro area, and compare our method with other classical ARMA-GARCH modelling.
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 Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 09050.
Length: 25 pages
Date of creation: Jul 2009
Date of revision: Dec 2009
Contact details of provider:
Postal: 106-112 boulevard de l'Hôpital 75 647 PARIS CEDEX 13
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://centredeconomiesorbonne.univ-paris1.fr/
More information through EDIRC
Multivariate k-nearest neighbor; asymptotic normality of the regression; mixing time series; confidence intervals; forecasts; economic indicators; Euro area.;
Other versions of this item:
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
- NEP-ECM-2009-10-24 (Econometrics)
- NEP-FOR-2009-10-24 (Forecasting)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- repec:hal:cesptp:halshs-00460472 is not listed on IDEAS
- Dominique Guégan & Patrick Rakotomarolahy, 2010.
"A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques,"
AccessEcon, vol. 30(1), pages 508-518.
- Dominique Guegan & Patrick Rakotomarolahy, 2010. "A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques," Documents de travail du Centre d'Economie de la Sorbonne 10013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- repec:ebl:ecbull:v:30:y:2010:i:1:p:508-518 is not listed on IDEAS
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lucie Label).
If references are entirely missing, you can add them using this form.