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Tackling large outliers in macroeconomic data with vector artificial neural network autoregression
Polito, Vito; Zhang, Yunyi - 2021
We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is equipped with a stability constraint to ensure...
Persistent link: https://www.econbiz.de/10012668293
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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011443686
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Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779
Persistent link: https://www.econbiz.de/10011592391
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Forecasting in big data environments : an adaptable and automated shrinkage estimation of neural networks (AAShNet)
Habibnia, Ali; Maasoumi, Esfandiar - In: Journal of quantitative economics 19 (2021), pp. 363-381
Persistent link: https://www.econbiz.de/10013441731
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A robust test for threshold-type nonlinearity in multivariate time series analysis
Chan, Wai-Sum; Cheung, Siu-hung; Chow, Wai Kit; Zhang, … - In: Journal of forecasting 34 (2015) 6, pp. 441-454
Persistent link: https://www.econbiz.de/10011342703
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A non-linear forecast combination procedure for binary outcomes
Lahiri, Kajal; Yang, Liu - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 421-440
Persistent link: https://www.econbiz.de/10011649134
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Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression
Polito, Vito; Zhang, Yunyi - 2021
We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is equipped with a stability constraint to ensure...
Persistent link: https://www.econbiz.de/10013314694
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Inflation forecasting in the Western Balkans and EU : a comparison of Holt-Winters, ARIMA and NNAR models
Karadzic, Vesna; Pejovic, Bojan - In: Amfiteatru economic : an economic and business research … 23 (2021) 57, pp. 517-532
while ARIMA model gives the most accurate forecast of twelve-month inflation in EU countries. The Holt-Winters (additive and … fact that the European Union has been implementing a policy of strict inflation targeting for a long time, so the ARIMA … models give the most accurate forecast of inflation future values. In the countries of the Western Balkans the targeting …
Persistent link: https://www.econbiz.de/10012939069
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Testing for neglected nonlinearity in time series models : a comparison of neural network methods and alternative tests
Lee, Tae-hwy; White, Halbert; Granger, C. W. J. - 1989
Persistent link: https://www.econbiz.de/10000838876