A Nonlinear Approach to Forecasting with Leading Economic Indicators

The classical NBER leading indicators model was built solely within a linear framework. With recent developments in nonlinear time-series analysis, several authors have begun to examine the forecasting properties of nonlinear models in the field of forecasting business cycles. The research presented in this paper focuses on the development of a new approach to forecasting with leading indicators based on neural networks. Empirical results are presented for forecasting the Index of Industrial Production. The results demonstrate that a superior performance can be obtained relative to the classical model.

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Year of publication:	2007
Authors:	Jagric, Timotej
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 7.2007, 2, p. 1135-1135
Publisher:	Berkeley Electronic Press
Subject:	business cycles \| leading economic indicators \| neural network \| forecasting \| aggregate economic activity

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966255