A regression graph which can be employed to enumerate and evaluate all possible subset regression models is introduced. The graph can be seen as a generalization of a previously introduced regression tree. Specifically, the regression tree describes a non-unique shortest path for traversing the...

Non-linear modeling approaches, including Smooth Transition Autoregressive (STAR) models, have attracted a great deal of attention over the last two decades. The empirical application of these models, however, is not always a straightforward task. In particular, parameter estimation and...

For modelling economic and financial time series, multivariate linear and nonlinear systems of equations have become a standard tool. These models can also be applied to non-stationary processes. However, the resulting finite-sample estimates may depend strongly on the specification of the model...

In this study we build two forecasting models to predict inflation for the Netherlands and for the euro area. Inflation is the yearly change of the Harmonised Index of Consumer Prices (HICP). The models provide point forecasts and prediction intervals for both the components of the HICP and the...

Unrestricted reduced form vector autoregressive (VAR) models have become a dominant research strategy in empirical macroeconomics since Sims (1980) critique of traditional macroeconometric modeling. They are however subjected to the curse of dimensionality. In this paper we propose...

One of the most critical issues when using neural networks is how to select appropriate network architectures for the problem at hand. Practitioners usually refer to information criteria which might lead to over-parameterized models with heavy consequence on overfitting and poor ex-post forecast...

Within the context of an agent-based model, model selection by the economic agents is introduced and investigated. To achieve this, a specific agent, the “economic research instituteâ€, is set up and produces regular forecasts of the economy which are published to the economic agents....