Forecasting economic and financial time-series with non-linear models

Forecasting economic and financial time-series with non-linear models

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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: , ,
Keywords: economics
Abstract:

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.

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