Non-linear relation between industrial production and business surveys data

Giancarlo Bruno

No 119, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: In this paper I compare different models, a linear and a non-linear one, for forecasting industrial production by means of some related indicators. I claim that the difficulties associated with the correct identification of a non-linear model could be a possible cause of the often observed worse performance of non-linear models with respect to linear ones observed in the empirical literature. To cope with this issue I use a non-linear non-parametric model. The results are promising, as the forecasting performance shows a clear improvement over the linear parametric model.

Keywords: Forecasting; Business Surveys; Non-linear time-series models; Non-parametric models. (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2009-09
New Economics Papers: this item is included in nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Non-linear relation between industrial production and business surveys data (2009)
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