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Working Papers, Department of Economics, Rutgers University >
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http://hdl.handle.net/10419/23167
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| Title: | | Forecasting economic and financial time-series with non-linear models  |
| Authors: | | Clements, Michael P. Franses, Philip Hans Swanson, Norman R. |
| Issue Date: | | 2003 |
| Series/Report no.: | | Working papers / Rutgers University, Department of Economics 2003,09 |
| 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. |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Department of Economics, Rutgers University
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