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Vector autoregressive models versus neural networks in forecasting: an application to Euro-inflation and divisia money

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  • Jane Binner
  • Rakesh Bissoondeeal
  • Thomas Elger
  • Alicia Gazely
  • Andrew Mullineux

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  • Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2004. "Vector autoregressive models versus neural networks in forecasting: an application to Euro-inflation and divisia money," Money Macro and Finance (MMF) Research Group Conference 2003 5, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc03:5
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    References listed on IDEAS

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    1. Gorr, Wilpen L. & Nagin, Daniel & Szczypula, Janusz, 1994. "Comparative study of artificial neural network and statistical models for predicting student grade point averages," International Journal of Forecasting, Elsevier, vol. 10(1), pages 17-34, June.
    2. Balkin, Sandy D. & Ord, J. Keith, 2000. "Automatic neural network modeling for univariate time series," International Journal of Forecasting, Elsevier, vol. 16(4), pages 509-515.
    3. Church, Keith B. & Curram, Stephen P., 1996. "Forecasting consumers' expenditure: A comparison between econometric and neural network models," International Journal of Forecasting, Elsevier, vol. 12(2), pages 255-267, June.
    4. de Brouwer, Gordon & Ericsson, Neil R, 1998. "Modeling Inflation in Australia," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 433-449, October.
    5. William A. Barnett, 2000. "Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 11-48, Emerald Group Publishing Limited.
    6. William Barnett & Ping Chen, 2016. "Economic Theory as a Generator of Measurable Attractors," Mondes en développement, De Boeck Université, vol. 0(3), pages 171-171.
    7. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, University Library of Munich, Germany.
    8. Hendry, David F & Doornik, Jurgen A, 1994. "Modelling Linear Dynamic Econometric Systems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(1), pages 1-33, February.
    9. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    10. Drake, L. & Mullineux, A., 1995. "One Divisa Money for Europe?," Discussion Papers 95-04, Department of Economics, University of Birmingham.
    11. William A. Barnett, 2000. "The Optimal Level of Monetary Aggregation," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 125-149, Emerald Group Publishing Limited.
    12. Jane M. Binner & Alicia M. Gazely, 1999. "A neural network approach to inflation forecasting: the case of Italy," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 1(1), pages 76-92.
    13. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-389, June.
    14. Leigh Drake & K. Alec Chrystal & Jane M. Binner, 2000. "Weighted Monetary Aggregates for the UK," Palgrave Macmillan Books, in: Michael T. Belongia & Jane M. Binner (ed.), Divisia Monetary Aggregates, chapter 3, pages 47-78, Palgrave Macmillan.
    15. DeCoster, Gregory P & Mitchell, Douglas W, 1991. "Nonlinear Monetary Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 455-461, October.
    16. Heinz Herrmann & Hans-Eggert Reimers & Karl-Heinz Toedter, 2000. "Weighted Monetary Aggregates for Germany," Palgrave Macmillan Books, in: Michael T. Belongia & Jane M. Binner (ed.), Divisia Monetary Aggregates, chapter 4, pages 79-101, Palgrave Macmillan.
    17. Hendry, David F, 1980. "Econometrics-Alchemy or Science?," Economica, London School of Economics and Political Science, vol. 47(188), pages 387-406, November.
    18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    19. Leigh Drake & Andy Mullineux & Juda Agung, 1997. "One Divisia money for Europe?," Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 775-786.
    20. Michael T. Belongia & Jane M. Binner (ed.), 2000. "Divisia Monetary Aggregates," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-28823-2.
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