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Forecasting Chilean Industrial Production and Sales with Automated Procedures

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  • ROMULO A. CHUMACERO

Abstract

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every forecasting horizon

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 112.

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Date of creation: 11 Aug 2004
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Handle: RePEc:sce:scecf4:112

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Keywords: Forecasting; Threshold; Artificial Neural Networks; Reality Check; Bootstrap.;

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  1. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
  2. Inoue, Atsushi & Kilian, Lutz, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers.
  3. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
  4. Chung-Ming Kuan, 2006. "Artificial Neural Networks," IEAS Working Paper : academic research 06-A010, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  5. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423.
  6. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, vol. 17(1), pages 57-69.
  7. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  8. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94.
  9. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  10. Claudio Soto G., 2004. "Desempleo y Consumo en Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 7(1), pages 31-50, April.
  11. Patton, Andrew J & Timmermann, Allan G, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.
  12. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
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