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Author: | Swanson, N. White, H. |
Title: | A model selection approach to real- time macroeconomic forecasting using linear models and artificial neural networks |
Journal: | Review of Economics and Statistics
1997 : NOV, VOL. 79:4, p. 540-550 |
Index terms: | STATISTICS ECONOMICS NEURAL NETWORKS |
Language: | eng |
Abstract: | THe authors take a model selection approach to the question of whether a class of adaptive prediction models is useful for predicting future values of nine macroeconomic variables. The authors use a variety of out-of-sample forecast-based model selection criteria, including forecast error measures and forecast direction accuracy. Ex ante or real-time forecasting results based on rolling window prediction methods indicate that multivariate adaptive linear vector autoregression models often outperform a variety of nonadaptive multivariate models. |
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