Tools for non-linear time series forecasting in economics - An empirical comparison of regime switching vector autoregressive models and recurrent neural networks
(2004) In Advances in Econometrics 19. p.71-91- Abstract
- The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we utilize monthly data from 1969 to 2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/897538
- author
- Binner, JM ; Elger, Thomas LU ; Nilsson, Birger LU and Tepper, JA
- organization
- publishing date
- 2004
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Advances in Econometrics
- volume
- 19
- pages
- 71 - 91
- publisher
- Elsevier
- external identifiers
-
- wos:000226716800003
- scopus:33748087983
- ISSN
- 0731-9053
- language
- English
- LU publication?
- yes
- id
- f1709f65-95bd-4dd5-a2a5-1f4e9a46aa65 (old id 897538)
- date added to LUP
- 2016-04-01 16:47:53
- date last changed
- 2022-01-28 22:12:19
@article{f1709f65-95bd-4dd5-a2a5-1f4e9a46aa65, abstract = {{The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we utilize monthly data from 1969 to 2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.}}, author = {{Binner, JM and Elger, Thomas and Nilsson, Birger and Tepper, JA}}, issn = {{0731-9053}}, language = {{eng}}, pages = {{71--91}}, publisher = {{Elsevier}}, series = {{Advances in Econometrics}}, title = {{Tools for non-linear time series forecasting in economics - An empirical comparison of regime switching vector autoregressive models and recurrent neural networks}}, volume = {{19}}, year = {{2004}}, }