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Tools for non-linear time series forecasting in economics - An empirical comparison of regime switching vector autoregressive models and recurrent neural networks

Binner, JM; Elger, Thomas LU ; Nilsson, Birger LU and Tepper, JA (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.
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author
organization
publishing date
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
2008-01-10 11:50:57
date last changed
2017-01-01 07:15:30
@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},
}