Artificial neural networks: an econometric perspective∗

DOI10.1080/07474939408800273zbMath0832.62101MaRDI QIDQ4853078

Halbert White, Chung-Ming Kuan

Publication date: 5 March 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939408800273

zbMATH Keywords

chaos; estimation; artificial neural networks; inference; review; nonlinear parametric models; misspecified nonlinear dynamic models; recursive nonlinear least squares estimation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

68T05: Learning and adaptive systems in artificial intelligence

Related Items

An introduction to hypergeometric functions for economists, SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS, Approximating and simulating the stochastic growth model: Parameterized expectations, neural networks, and the genetic algorithm, Global optimization of statistical functions with simulated annealing, Robust inference in nonlinear models with mixed identification strength, Is the predictability of emerging and developed stock markets really exploitable?, Cournot competition, organization and learning, Testing forecast accuracy of foreign exchange rates: Predictions from feed forward and various recurrent neural network architectures, Variable selection in neural network regression models with dependent data: a subsampling approach, Globally flexible functional forms: the neural distance function, Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach, Forecasting nonlinear time series with neural network sieve bootstrap, Absorption of shocks in nonlinear autoregressive models, Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets, Estimating population proportions from imputed data., A single-blind controlled competition among tests for nonlinearity and chaos, Recognizing changing seasonal patterns using artificial neural networks, Semi-nonparametric estimates of substitution elasticities, Modeling consideration sets and brand choice using artificial neural networks., On the profitability of technical trading rules based on artificial neural networks: Evidence from the Madrid stock market, Using genetic algorithms to select architecture of a feedforward artificial neural network, Neural networks in the capital markets: An application to index forecasting, Econometric methods for derivative securities and risk management, Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes, Agent-based computational finance: Suggested readings and early research, Adaptive learning of rational expectations using neural networks, Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples, Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos, A comparison of statistical tests for the adequacy of a neural network regression model, Revisiting Tests for Neglected Nonlinearity Using Artificial Neural Networks, The Benefits of Bagging for Forecast Models of Realized Volatility, Testing for efficiency and non-linearity in market and natural time series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Diagnostic testing and evaluation of maximum likelihood models
• Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
• Misspecified models with dependent observations
• Projection pursuit
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• On the choice of step size in the Robbins-Monro procedure
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
• Nonparametric maximum likelihood estimation by the method of sieves
• A maximal inequality and dependent strong laws
• The performance of the likelihood ratio test when the model is incorrect
• Multilayer feedforward networks are universal approximators
• An outline of a mathematical theory of PAPA
• Applications of a Kushner and Clark lemma to general classes of stochastic algorithms
• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• Learning to Believe in Sunspots
• An Elasticity can be Estimated Consistently without a Priori Knowledge of Functional Form
• Pseudo Maximum Likelihood Methods: Theory
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• Rates of Convergence for Stochastic Approximation Type Algorithms
• Consequences and Detection of Misspecified Nonlinear Regression Models
• Asymptotic Properties of Stochastic Approximations with Constant Coefficients
• A Consistent Conditional Moment Test of Functional Form
• Testing a Subset of the Parameters of a Nonlinear Regression Model
• An invariance principle for the Robbins-Monro process in a Hilbert space
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Analysis of recursive stochastic algorithms
• Information Criteria for Discriminating Among Alternative Regression Models
• Universal approximation bounds for superpositions of a sigmoidal function
• Asymptotic Global Behavior for Stochastic Approximation and Diffusions with Slowly Decreasing Noise Effects: Global Minimization via Monte Carlo
• Robust Estimation of a Location Parameter
• On Asymptotic Normality in Stochastic Approximation
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
• A Stochastic Approximation Method
• Approximation Methods which Converge with Probability one
• A logical calculus of the ideas immanent in nervous activity
• Maximum Likelihood Estimation of Misspecified Models
• Approximation by superpositions of a sigmoidal function