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.
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| Length: | |
| Date of creation: | Dec 2010 |
| Date of revision: | |
| Publication status: | Published, Nonlinear Modeling of Economic and Financial Time-Series, Emerald Publishers (Ed.), 2010, Chapiter 5 (29 p.) |
| Handle: | RePEc:hal:cesptp:halshs-00511979 |
| Note: | View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00511979 |
| Contact details of provider: | Web page: http://hal.archives-ouvertes.fr/
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References listed on IDEAS
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