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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
; ; and
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
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}},
}