This article gives the asymptotic properties of multivariate k-nearest neighbor regression estimators for dependent variables belonging to Rd, d 1. The results derived here permit to provide consistent forecasts, and confidence intervals for time series An illustration of the method is given...

Forecasting current quarter GDP is a permanent task inside the central banks. Many models are known and proposed to solve this problem. Thanks to new results on the asymptotic normality of the multivariate k-nearest neighbor regression estimate, we propose an interesting and new approach to...