Building neural network models for time series: a statistical approach

Timo Teräsvirta, Marcelo Medeiros () and Gianluigi Rech
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Gianluigi Rech: Department of Economic Statistics, Stockholm School of Economics, Sweden, Postal: Department of Economic Statistics, Stockholm School of Economics, Sweden

Journal of Forecasting, 2006, vol. 25, issue 1, 49-75

Abstract: This paper is concerned with modelling time series by single hidden layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using simple existing techniques. The problem of selecting the number of hidden units is solved by sequentially applying Lagrange multiplier type tests, with the aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated neural network model. All the tests are entirely based on auxiliary regressions and are easily implemented. A small-sample simulation experiment is carried out to show how the proposed modelling strategy works and how the misspecification tests behave in small samples. Two applications to real time series, one univariate and the other multivariate, are considered as well. Sets of one-step-ahead forecasts are constructed and forecast accuracy is compared with that of other nonlinear models applied to the same series. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2006
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Citations: View citations in EconPapers (50)

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Related works:
Working Paper: Building neural network models for time series: A statistical approach (2002)
Working Paper: Building Neural Network Models for Time Series: A Statistical Approach (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:25:y:2006:i:1:p:49-75

DOI: 10.1002/for.974

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