haku: @author White, H. / yhteensä: 7
viite: 6 / 7
| Tekijä: | Swanson, N. White, H. |
| Otsikko: | A model selection approach to real- time macroeconomic forecasting using linear models and artificial neural networks |
| Lehti: | Review of Economics and Statistics
1997 : NOV, VOL. 79:4, p. 540-550 |
| Asiasana: | STATISTICS ECONOMICS NEURAL NETWORKS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA