Bruno, Giancarlo (2008): Forecasting Using Functional Coefficients Autoregressive Models.
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The use of linear parametric models for forecasting economic time series is widespread among practitioners, in spite of the fact that there is a large evidence of the presence of non-linearities in many of such time series. However, the empirical results stemming from the use of non-linear models are not always as good as expected. This has been sometimes associated to the difficulty in correctly specifying a non-linear parametric model. I this paper I cope with this issue by using a more general non-parametric approach, which can be used both as a preliminary tool for aiding in specifying a suitable parametric model and as an autonomous modelling strategy. The results are promising, in that the non-parametric approach achieve a good forecasting record for a considerable number of series.
|Item Type:||MPRA Paper|
|Original Title:||Forecasting Using Functional Coefficients Autoregressive Models|
|Keywords:||Non-linear time-series models; non-parametric models|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Giancarlo Bruno|
|Date Deposited:||01 Nov 2012 05:38|
|Last Modified:||06 Oct 2016 05:09|
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