Alternative methods for forecasting GDP
An empirical forecast accuracy comparison of the non-parametric method, known as multivariate Nearest Neighbor method, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP, through the estimation of economic indicators plugged in the bridge equations, we get more accurate forecasts when using nearest neighbor method. We prove also the asymptotic normality of the multivariate k-nearest neighbor regression estimator for dependent time series, providing confidence intervals for point forecast in time series.
|Date of creation:||Jul 2010|
|Publication status:||Published in Documents de travail du Centre d'Economie de la Sorbonne 2010.65 - ISSN : 1955-611X. 2010|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00505165|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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