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:||Dec 2010|
|Publication status:||Published in R. Barnett, F. Jawady. Nonlinear Modeling of Economic and Financial Time-Series, Emerald Publishers, Chapiter 5 (29 p.), 2010, Series International Symposia in Economic Theory and Econometrics - n°21|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00511979|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
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- Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003.
"The Use and Abuse of Real-Time Data in Economic Forecasting,"
The Review of Economics and Statistics,
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- Evan F. Koenig & Sheila Dolmas & Jeremy M. Piger, 2002. "The use and abuse of 'real-time' data in economic forecasting," Working Papers 2001-015, Federal Reserve Bank of St. Louis.
- Evan F. Koenig & Sheila Dolmas & Jeremy M. Piger, 2000. "The use and abuse of "real-time" data in economic forecasting," International Finance Discussion Papers 684, Board of Governors of the Federal Reserve System (U.S.).
- Dominique Guégan & Nicolas Huck, 2005. "On the use of Nearest Neighbors in finance," Finance, Presses universitaires de Grenoble, vol. 26(2), pages 67-86.
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- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2008. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Documents de travail du Centre d'Economie de la Sorbonne b08082, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460461, HAL.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00344839, HAL.
- Joseph P. Byrne & E. Philip Davis, 2005. "Investment and Uncertainty in the G7," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(1), pages 1-32, April.Full references (including those not matched with items on IDEAS)
- Professor E. Philip Davis & Joseph Byrne, 2002. "Investment and Uncertainty in the G7," NIESR Discussion Papers 198, National Institute of Economic and Social Research.
- Byrne, Joseph P & Davis, E Philip, 2002. "Investment and Uncertainty in the G7," MPRA Paper 78956, University Library of Munich, Germany.
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