Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques

DOI10.1080/07474938.2015.1035163zbMath1491.62234OpenAlexW1566635569MaRDI QIDQ5864520

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

model selectionnonlinear autoregressive modelnonlinear time seriesartificial neural networkforecast comparisonroot mean square forecast errorWilcoxon's signed-rank test

Mathematics Subject Classification ID

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

Related Items

A neural network method for nonlinear time series analysis, Model Selection and Shrinkage: An Overview

Uses Software

• PcGets
• ElemStatLearn

Cites Work

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