Building neural network models for time series: A statistical approach
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- Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006. "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75.
- Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão 461, Department of Economics PUC-Rio (Brazil).
References listed on IDEAS
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More about this item
Keywords
Model misspecification; neural computing; nonlinear forecasting; nonlinear time series; smooth transition autoregression; sunspot series; threshold autoregression; financial prediction;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2002-09-21 (Computational Economics)
- NEP-ECM-2002-09-21 (Econometrics)
- NEP-ETS-2002-09-21 (Econometric Time Series)
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