Article ID: | iaor2005790 |
Country: | Netherlands |
Volume: | 20 |
Issue: | 2 |
Start Page Number: | 169 |
End Page Number: | 183 |
Publication Date: | Apr 2004 |
Journal: | International Journal of Forecasting |
Authors: | Franses Philip Hans, Clements Michael P., Swanson Norman R. |
Keywords: | economics |
In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain.