TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS

Jane M. Binner; Thomas Elger; Birger Nilsson; Jonathan A. Tepper

doi:10.1016/S0731-9053(04)19003-8

TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS

Jane M. Binner, Thomas Elger, Birger Nilsson, Jonathan A. Tepper

Finance

Research output: Chapter in Book/Report/Conference proceeding › Chapter

10 Citations (Scopus)

Abstract

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we utilize monthly data from 1969 to 2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.

Original language	English
Title of host publication	Applications of Artificial Intelligence in Finance and Economics
Editors	Jane Binner, Graham Kendall, Shu-Heng Chen
Pages	71-91
Number of pages	21
DOIs	https://doi.org/10.1016/S0731-9053(04)19003-8
Publication status	Published - 1 Dec 2004

Publication series

Name	Advances in Econometrics
Volume	19
ISSN (Print)	0731-9053

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/S0731-9053(04)19003-8

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Binner, J. M., Elger, T., Nilsson, B., & Tepper, J. A. (2004). TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS. In J. Binner, G. Kendall, & S.-H. Chen (Eds.), Applications of Artificial Intelligence in Finance and Economics (pp. 71-91). (Advances in Econometrics; Vol. 19). https://doi.org/10.1016/S0731-9053(04)19003-8

Binner, Jane M. ; Elger, Thomas ; Nilsson, Birger et al. / TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS. Applications of Artificial Intelligence in Finance and Economics. editor / Jane Binner ; Graham Kendall ; Shu-Heng Chen. 2004. pp. 71-91 (Advances in Econometrics).

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abstract = "The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we utilize monthly data from 1969 to 2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.",

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Binner, JM, Elger, T, Nilsson, B & Tepper, JA 2004, TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS. in J Binner, G Kendall & S-H Chen (eds), Applications of Artificial Intelligence in Finance and Economics. Advances in Econometrics, vol. 19, pp. 71-91. https://doi.org/10.1016/S0731-9053(04)19003-8

TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS. / Binner, Jane M.; Elger, Thomas; Nilsson, Birger et al.
Applications of Artificial Intelligence in Finance and Economics. ed. / Jane Binner; Graham Kendall; Shu-Heng Chen. 2004. p. 71-91 (Advances in Econometrics; Vol. 19).

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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Binner JM, Elger T, Nilsson B, Tepper JA. TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS. In Binner J, Kendall G, Chen SH, editors, Applications of Artificial Intelligence in Finance and Economics. 2004. p. 71-91. (Advances in Econometrics). doi: 10.1016/S0731-9053(04)19003-8

TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS - AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS

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