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The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting

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Abstract

Forecasting current quarter GDP is a permanent task inside the central banks. Many models are known and proposed to solve this problem. Thanks to new results on the asymptotic normality of the multivariate k-nearest neighbor regression estimate, we propose an interesting and new approach to solve in particular the forecasting of economic indicators, included GDP modelling. Considering dependent mixing data sets, we prove the asymptotic normality of multivariate k-nearest neighbor regression estimate under weak conditions, providing confidence intervals for point forecasts. We introduce an application for economic indicators of euro area, and compare our method with other classical ARMA-GARCH modelling

Suggested Citation

  • Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting," Documents de travail du Centre d'Economie de la Sorbonne 09050, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Dec 2009.
    • Handle: RePEc:mse:cesdoc:09050
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    File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2009/09050.pdf
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    Cited by:

    1. Dominique Guégan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Economics Bulletin, AccessEcon, vol. 30(1), pages 508-518.
    2. repec:ebl:ecbull:v:30:y:2010:i:1:p:508-518 is not listed on IDEAS
    3. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," PSE-Ecole d'économie de Paris (Postprint) halshs-00460472, HAL.
    4. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Post-Print halshs-00460472, HAL.
    5. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques," Post-Print halshs-00461711, HAL.

    More about this item

    Keywords

    Multivariate k-nearest neighbor; asymptotic normality of the regression; mixing time series; confidence intervals; forecasts; economic indicators; Euro area;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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