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Forecast performance of neural networks and business cycle asymmetries

  • Khurshid M. Kiani
  • Prasad V. Bidarkota
  • Terry L. Kastens

Forecast performance of artificial neural network models are investigated using Ashley et al . (1980) and the neural network nonlinearity test proposed by Lee et al . (1993) is employed to find possible existence of business cycle asymmetries in Canada, France, Japan, UK and USA real GDP growth rates. The results show that neural network models are more accurate than linear models for in-sample forecasts. However, when comparing the out-of-sample, linear models performed better than neural network models in all series. Results from neural network tests show that business cycle asymmetries do prevail in all the series.

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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 4 (July)
Pages: 205-210

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Handle: RePEc:taf:apfelt:v:1:y:2005:i:4:p:205-210
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  1. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
  2. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July.
  3. Kling, John L, 1987. "Predicting the Turning Points of Business and Economic Time Series," The Journal of Business, University of Chicago Press, vol. 60(2), pages 201-38, April.
  4. Terry L. Kastens & Gary W. Brester, 1996. "Model Selection and Forecasting Ability of Theory-Constrained Food Demand Systems," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(2), pages 301-312.
  5. Allan D. Brunner, 1990. "Conditional asymmetries in real GNP: a semi-nonparametric approach," Finance and Economics Discussion Series 140, Board of Governors of the Federal Reserve System (U.S.).
  6. Chung-Ming Kuan, 2006. "Artificial Neural Networks," IEAS Working Paper : academic research 06-A010, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  7. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
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