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Non-linear relation between industrial production and business surveys data

Bruno, Giancarlo (2009): Non-linear relation between industrial production and business surveys data.

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Abstract

n this paper I compare different models, a linear and a non-linear one, for forecasting industrial production by means of some related indicators. I claim that the difficulties associated with the correct identification of a non-linear model could be a possible cause of the often observed worse performance of non-linear models with respect to linear ones observed in the empirical literature. To cope with this issue I use a non-linear non-parametric model. The results are promising, as the forecasting performance shows a clear improvement over the linear parametric model.

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