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A Nonlinear Approach to Forecasting with Leading Economic Indicators

Listed author(s):
  • Jagric Timotej

    ()

    (timotej.jagric@uni-mb.si)

Registered author(s):

    The classical NBER leading indicators model was built solely within a linear framework. With recent developments in nonlinear time-series analysis, several authors have begun to examine the forecasting properties of nonlinear models in the field of forecasting business cycles. The research presented in this paper focuses on the development of a new approach to forecasting with leading indicators based on neural networks. Empirical results are presented for forecasting the Index of Industrial Production. The results demonstrate that a superior performance can be obtained relative to the classical model.

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    File URL: https://www.degruyter.com/view/j/snde.2003.7.2/snde.2003.7.2.1135/snde.2003.7.2.1135.xml?format=INT
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    Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

    Volume (Year): 7 (2003)
    Issue (Month): 2 (July)
    Pages: 1-20

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    Handle: RePEc:bpj:sndecm:v:7:y:2003:i:2:n:4
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    1. Norman R. Swanson & Halbert White, 1997. "A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 540-550, November.
    2. Jaditz, Ted & Riddick, Leigh A. & Sayers, Chera L., 1998. "MULTIVARIATE NONLINEAR FORECASTING Using Financial Information to Forecast the Real Sector," Macroeconomic Dynamics, Cambridge University Press, vol. 2(03), pages 369-382, September.
    3. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
    4. Timotej Jagri, 2002. "Measuring Business Cycles: The Case of Slovenia," Eastern European Economics, Taylor & Francis Journals, vol. 40(1), pages 63-87, January.
    5. Stekler, H. O., 1991. "Macroeconomic forecast evaluation techniques," International Journal of Forecasting, Elsevier, vol. 7(3), pages 375-384, November.
    6. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, October.
    7. Steven Gonzalez, "undated". "Neural Networks for Macroeconomic Forecasting: A Complementary Approach to Linear Regression Models," Working Papers-Department of Finance Canada 2000-07, Department of Finance Canada.
    8. Saul H. Hymans, 1973. "On the Use of Leading Indicators to Predict Cyclical Turning Points," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(2), pages 339-384.
    9. Leitch, Gordon & Tanner, J Ernest, 1991. "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, American Economic Association, vol. 81(3), pages 580-590, June.
    10. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 175-206.
    11. Timotej Jagri, 2002. "Measuring Business Cycles: The Case of Slovenia," Eastern European Economics, M.E. Sharpe, Inc., vol. 40(1), pages 63-87, January.
    12. Sebastjan Strasek & Timotej Jagric, 2002. "Cyclical patterns in aggregate economic activity of Slovene economy," Applied Economics, Taylor & Francis Journals, vol. 34(14), pages 1813-1819.
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