EconPapers    
Economics at your fingertips  
 

The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting

Dominique Guegan () and Patrick Rakotomarolahy ()
Additional contact information
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Patrick Rakotomarolahy: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This article gives the asymptotic properties of multivariate k-nearest neighbor regression estimators for dependent variables belonging to Rd, d > 1. The results derived here permit to provide consistent forecasts, and confidence intervals for time series An illustration of the method is given through the estimation of economic indicators used to compute the GDP with the bridge equations. An empirical forecast accuracy comparison is provided by comparing this non-parametric method with a parametric one based on ARIMA modelling that we consider as a benchmark because it is still often used in Central Banks to nowcast and forecast the GDP.

Keywords: euro area; Multivariate k-nearest neighbor; asymptotic normality of the regression; mixing time series; confidence intervals; forecasts; economic indicators; euro area.; Plus proches voisins; normalité asymtotique de la régression; intervalle de confiance; prévisions; indicateurs économiques; zone euro. (search for similar items in EconPapers)
Date: 2009-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00423871v2
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published in 2009

Downloads: (external link)
https://shs.hal.science/halshs-00423871v2/document (application/pdf)

Related works:
Working Paper: The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00423871

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:cesptp:halshs-00423871