Alternative methods for forecasting GDP

Dominique Guegan () and Patrick Rakotomarolahy ()
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Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan
Patrick Rakotomarolahy: Centre d'Economie de la Sorbonne

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: An empirical forecast accuracy comparison of the non-parametric method, known as multivariate Nearest Neighbor method, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP, through the estimation of economic indicators plugged in the bridge equations, we get more accurate forecasts when using nearest neighbor method. We prove also the asymptotic normality of the multivariate k-nearest neighbor regression estimator for dependent time series, providing confidence intervals for point forecast in time series

Keywords: Forecast; economic indicators; GDP; Euro area; VAR; multivariate k-nearest neighbor regression; asymptotic normality (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2010-07
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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http://mse.univ-paris1.fr/pub/mse/CES2010/10065.pdf (application/pdf)

Related works:
Working Paper: Alternative methods for forecasting GDP (2010)
Working Paper: Alternative methods for forecasting GDP (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10065

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