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Functional Structure Inference
Type: Book
ISBN: 978-0-44453-061-5

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Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

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Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

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Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

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Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

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Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

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Jane M. Binner, Thomas Elger, Birger Nilsson and Jonathan A. Tepper

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent…

Abstract

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we utilize monthly data from 1969 to 2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.

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Applications of Artificial Intelligence in Finance and Economics
Type: Book
ISBN: 978-1-84950-303-7

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Abstract

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Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

Abstract

Details

Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

To view the access options for this content please click here

Abstract

Details

Functional Structure and Approximation in Econometrics
Type: Book
ISBN: 978-0-44450-861-4

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