Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method
We use a nonlinear, nonparametric method to forecast the unemployment rates. We compare these forecasts to several linear and nonlinear parametric methods based on the work of Montgomery et al. (1998) and Carruth et al. (1998). Our main result is that, due to the nonlin-earity in the data generating process, the nonparametric method outperforms many other well-known models, even when these models use more information. This result holds for forecasts based on quarterly and on monthly data.
|Date of creation:||01 Jan 2002|
|Date of revision:|
|Contact details of provider:|| Postal: 207 Giannini Hall #3310, Berkeley, CA 94720-3310|
Phone: (510) 642-3345
Fax: (510) 643-8911
Web page: http://www.escholarship.org/repec/are_ucb/
More information through EDIRC
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.:
- Christopher A. Sims, 1992.
"A Nine Variable Probabilistic Macroeconomic Forecasting Model,"
Cowles Foundation Discussion Papers
1034, Cowles Foundation for Research in Economics, Yale University.
- Christopher A. Sims, 1993. "A Nine-Variable Probabilistic Macroeconomic Forecasting Model," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 179-212 National Bureau of Economic Research, Inc.
- Christopher A. Sims, 1989. "A nine variable probabilistic macroeconomic forecasting model," Discussion Paper / Institute for Empirical Macroeconomics 14, Federal Reserve Bank of Minneapolis.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Agnon, Yehuda & Golan, Amos & Shearer, Matthew, 1999. "Nonparametric, nonlinear, short-term forecasting: theory and evidence for nonlinearities in the commodity markets," Economics Letters, Elsevier, vol. 65(3), pages 293-299, December.
- Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1998. "Testing nonlinear forecastability in time series: Theory and evidence from the EMS," Economics Letters, Elsevier, vol. 59(1), pages 49-63, April.
- Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon & Andrada-Felix, Julian, 1999.
"Exchange-rate forecasts with simultaneous nearest-neighbour methods: evidence from the EMS,"
International Journal of Forecasting,
Elsevier, vol. 15(4), pages 383-392, October.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada, . "Exchange-rate forecasts with simultaneous nearest-neighbour methods: Evidence from the EMS," Working Papers 98-17, FEDEA.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Carruth, A.A. & Hooker, M.A. & Oswald, A.J., 1998.
"Unemployment Equilibria and Input Prices: Theory and Evidence from the United States,"
The Warwick Economics Research Paper Series (TWERPS)
496, University of Warwick, Department of Economics.
- Alan A. Carruth & Mark A. Hooker & Andrew J. Oswald, 1998. "Unemployment Equilibria And Input Prices: Theory And Evidence From The United States," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 621-628, November.
- Carruth,a. & Hooker, N. & Oswald,A., 1997. "Unemployment Equilibria and Input Prices: Theory and Evidence from the United States," Papers 22, Centre for Economic Performance & Institute of Economics.
- Mulhern, Francis J. & Caprara, Robert J., 1994. "A nearest neighbor model for forecasting market response," International Journal of Forecasting, Elsevier, vol. 10(2), pages 191-207, September.
- Ramsey James B., 1996. "If Nonlinear Models Cannot Forecast, What Use Are They?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(2), pages 1-24, July.
When requesting a correction, please mention this item's handle: RePEc:cdl:agrebk:qt2bw559zk. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff)
If references are entirely missing, you can add them using this form.