The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting
This article gives the asymptotic properties of multivariate k-nearest neighbor regression estimators for dependent variables belonging to Rd, d > 1. The results derived here permit to provide consistent forecasts, and confidence intervals for time series An illustration of the method is given through the estimation of economic indicators used to compute the GDP with the bridge equations. An empirical forecast accuracy comparison is provided by comparing this non-parametric method with a parametric one based on ARIMA modelling that we consider as a benchmark because it is still often used in Central Banks to nowcast and forecast the GDP.
|Date of creation:||Dec 2009|
|Publication status:||Published in Documents de travail du Centre d'Economie de la Sorbonne 2009.50 - ISSN : 1955-611X. 2009|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00423871v2|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-00423871. 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: (CCSD)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.