Non-linear relation between industrial production and business surveys data

Giancarlo Bruno

MPRA Paper from University Library of Munich, Germany

Abstract: n 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: C22 C53 (search for similar items in EconPapers)
Date: 2009-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Non-linear relation between industrial production and business surveys data (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42337

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