Forecasting macroeconomic variables using neural network models and three automated model selection techniques

DOI10.1080/07474938.2015.1035163MaRDI QIDQ5864520zbMATH OpenOpenAlexFDO

Authors Anders Bredahl Kock, Timo Teräsvirta

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://pure.au.dk/ws/files/121834782/Post_print_Anders_Koch_2016_Forecasting_macroeconomic_variables.pdf

zbMATH Keywords

artificial neural networkforecast comparisonmodel selectionnonlinear autoregressive modelnonlinear time seriesroot mean square forecast errorWilcoxon's signed-rank test

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Artificial neural networks and deep learning (68T07) Statistical methods; economic indices and measures (91B82)

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Cites work

• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Approximation by superpositions of a sigmoidal function
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Computer automation of general-to-specific model selection procedures
• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
• Feedforward Neural Network Methodology
• Global optimization of statistical functions with simulated annealing
• Handbook of economic forecasting. Volume 1
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 1392848 (Why is no real title available?)
• Modelling Nonlinear Economic Time Series
• Multilayer feedforward networks are universal approximators
• Oracle inequalities for high dimensional vector autoregressions
• Prediction Intervals for Artificial Neural Networks
• Ridgelets: estimating with ridge functions
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• The Adaptive Lasso and Its Oracle Properties
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• The Methodology and Practice of Econometrics
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(5)

• A neural network method for nonlinear time series analysis
• Inflation forecasting using a neural network
• Forecasting economic growth using financial variables -- comparison of linear regression and neural network models
• TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS – AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS
• Model Selection and Shrinkage: An Overview

Describes a project that uses

Uses Software

• PcGets
• ElemStatLearn

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