A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks

No abstract is available for this paper.

• Publication year

  1997

• Venue

  Review of Economics and Statistics

• Publication date

  1997-11-01

• Fields of study

  Computer Science, Economics

• Identifiers
  DOI 10.1162/003465397557123
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Forecast Comparison in L2

  1996cited by this paper
• Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data

  1996cited by this paper
• A Rolling Window Analysis of the Marginal Predictive Content of Money for Real Output

  1995cited by this paper
• Modelling Nonlinear Economic Relationships

  1995cited by this paper
• The Use of Recursive Model Selection Strategies in Forecasting Stock Returns

  1995cited by this paper
• Prediction of Final Data with Use of Preliminary and/or Revised Data

  1995cited by this paper
• A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks

  1995influential reference
• An Integrated Model of the Data Measurement and Data Generation Processes with an Application to Consumers' Expenditure

  1995cited by this paper
• Testing the Rationality of Price Forecasts: Reply

  1995cited by this paper
• Testing the Rationality of Price Forecasts: Comment

  1995cited by this paper
• A generalization of the non-parametric Henriksson-Merton test of market timing

  1994cited by this paper
• Are economic forecasts valuable

  1994cited by this paper
• Artificial neural networks: an econometric perspective ∗

  1994cited by this paper
• The Use of Artificial Neural Networks for Estimation of Decision Surfaces in First Price Sealed Bid Auctions

  1994cited by this paper
• Introducing: The Survey of Professional Forecasters

  1993influential reference
• Strategies for Modelling Nonlinear Time‐Series Relationships*

  1993cited by this paper
• Twenty-Two Years of the Nber-Asa Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance

  1992cited by this paper
• Macroeconomic forecast evaluation techniques

  1991cited by this paper
• Principled Architecture Selection for Neural Networks: Application to Corporate Bond Rating Prediction

  1991cited by this paper
• Forecasting Output with the Composite Leading Index: A Real-Time Analysis

  1991influential reference
• Economic Forecast Evaluation: Profits versus the Conventional Error Measures

  1991cited by this paper
• Universal approximation of an unknown mapping and its derivatives using multilayer feedforward networks

  1990cited by this paper
• Connectionist nonparametric regression: Multilayer feedforward networks can learn arbitrary mappings

  1990cited by this paper
• Comparing Information in Forecasts from Econometric Models

  1990influential reference
• Construction of neural nets using the radon transform

  1989cited by this paper
• On the approximate realization of continuous mappings by neural networks

  1989cited by this paper
• Multilayer feedforward networks are universal approximators

  1989cited by this paper
• Learning in Artificial Neural Networks: A Statistical Perspective

  1989cited by this paper
• Approximation by superpositions of a sigmoidal function

  1989cited by this paper
• Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period

  1988cited by this paper
• Economic prediction using neural networks: the case of IBM daily stock returns

  1988cited by this paper
• Parallel Distributed Processing: Explorations in the Microstructures of Cognition

  1987cited by this paper
• Model selection for forecasting

  1986cited by this paper
• Model selection criteria and model selection tests in regression models

  1986cited by this paper
• Forecasting Economic Time Series

  1986cited by this paper
• Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models

  1986cited by this paper
• Tests of Equilibrium Macroeconomics Using Contemporaneous Monetary Data

  1981cited by this paper
• Estimating the Dimension of a Model

  1978cited by this paper
• Modeling By Shortest Data Description*

  1978cited by this paper
• Information criteria for discriminating among alternative regression models / BEBR No. 455

  1978cited by this paper
• A new look at the statistical model identification

  1974cited by this paper
• A model of macroeconomic activity

  1974cited by this paper
• Information Theory and an Extension of the Maximum Likelihood Principle

  1973cited by this paper
• Mathematical Statistics

  1944cited by this paper

• The Effects of Financial Stability, Economic Growth, and Industrial Production on Environmental Performance: Evidence from Türkiye

  2026cites this paper
• A comparison of realized beta forecasting methods

  2026cites this paper
• Using Neuronets to Forecast Economic Processes in Conditions of Uncertainty

  2025cites this paper
• Machine learning methods in macroeconomic forecasting: Preliminary results

  2025cites this paper
• e-Values Based Continuous-time Model Selection for Residential Electricity Demand Forecasts

  2025cites this paper
• Macroeconomic Forecasting and Machine Learning

  2025cites this paper
• Uso de Redes Neuronales para el pronóstico del PIB de Ecuador en contraste con modelos ARIMA, período 2000-2023.

  2024cites this paper
• Double marginalization in the pricing of complements: The case of US freight railroads

  2024cites this paper
• e-Values for Real-Time Residential Electricity Demand Forecast Model Selection

  2024cites this paper
• Navigating the “twin titans” of global manufacturing: The impact of US and China on industrial production forecasting in G20 nations

  2024cites this paper
• Does Money Matter for Predicting Overall Prices in Albania? An Analysis with Recurrent Neural Network

  2024cites this paper
• Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models

  2023cites this paper
• Agricultural policy uncertainty and its impact on commodity markets

  2023cites this paper
• Inside the black box: Neural network-based real-time prediction of US recessions (preprint)

  2023cites this paper
• Sector-level equity returns predictability with machine learning and market contagion measure

  2023cites this paper
• Evaluation of Traditional Finance Models and Machine Learning Approaches in FOREX Volatility Prediction

  2023cites this paper
• Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters

  2023cites this paper
• A Neural Phillips Curve and a Deep Output Gap

  2022cites this paper
• The Anatomy of Out-of-Sample Forecasting Accuracy

  2022cites this paper
• Boosting nonlinear predictability of macroeconomic time series

  2021cites this paper
• Predicting Estimated Blood Loss and Transfusions in Gynecologic Surgery Using Artificial Neural Networks

  2021cites this paper
• Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression (preprint)

  2021cites this paper
• On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting

  2021cites this paper
• Is Deep-Learning and Natural Language Processing Transcending the Financial Forecasting? Investigation Through Lens of News Analytic Process

  2021cites this paper
• Application of Neural Network Technologies in the Analytical System "SHM Horizon"

  2021cites this paper
• Forecasting spot prices of agricultural commodities in India: Application of deep-learning models

  2021cites this paper
• Using deep learning neural networks to predict the knowledge economy index for developing and emerging economies

  2021cites this paper
• Essays on uncertainty measures and forecasting

  2020influential citation
• Forecasting financial time-series using data mining models: A simulation study

  2020cites this paper
• Forecasting Portuguese GDP A comparison of univariate time series models

  2020cites this paper
• Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks

  2020cites this paper
• On the predictability of U.S. stock market using machine learning and deep learning techniques

  2020cites this paper
• The role of political patronage in the risk-taking behaviour of banks in the Middle East and North Africa

  2020cites this paper
• An Integrated LSTM Neural Networks Approach to Sustainable Balanced Scorecard-Based Early Warning System

  2020cites this paper
• Machine Learning Advances for Time Series Forecasting

  2020cites this paper
• Nonlinear forecast combinations: An example using euro-area real GDP growth

  2020cites this paper
• Forecasting Costa Rican inflation with machine learning methods

  2020cites this paper
• Deep Learning for Disentangling Liquidity-Constrained and Strategic Default

  2020cites this paper
• On the directional predictability of equity premium using machine learning techniques

  2020cites this paper
• Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them

  2019cites this paper
• The Neural Network Production Function: Panel Evidence for the United States

  2019cites this paper
• How is Machine Learning Useful for Macroeconomic Forecasting?

  2019cites this paper
• Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach

  2019cites this paper
• Towards Explainable AI: Significance Tests for Neural Networks

  2019cites this paper
• Do industry returns predict the stock market? A reprise using the random forest

  2019cites this paper
• Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach

  2019cites this paper
• Predicting South African GDP Growth Rates Using Factor Models and Machine Learning Techniques

  2019cites this paper
• Does inequality really matter in forecasting real housing returns of the United Kingdom?

  2019cites this paper
• Fifty Years of the Survey of Professional Forecasters

  2019cites this paper
• Nonlinear Inflation Forecasting with Recurrent Neural Networks Latest version is available here

  2019cites this paper
• A Review on Robust Artificial Neural Network Forecasting Models towards Outliers Problem

  2019cites this paper
• 1 INFLATION FORECASTING IN PAKISTAN USING ARTIFICIAL NEURAL NETWORKS

  2019cites this paper
• Analysis of Indonesia’s Inflation Using ARIMA and Artificial Neural Network

  2019cites this paper
• Time Series Modelling with Neural Networks

  2019cites this paper
• Markov-switching vector autoregressive neural networks and sensitivity analysis of environment, economic growth and petrol prices

  2018cites this paper
• Modeling Multivariate Time Series in Economics: From Auto-Regressions to Recurrent Neural Networks

  2018cites this paper
• Complementing South African inflation surveys: A suitable forecasting tool

  2018cites this paper
• Predicting daily oil prices: Linear and non-linear models

  2018cites this paper
• Canonical Vine Copulas in the Context of Modern Portfolio Management

  2018cites this paper
• Pricing of Complements in the U.S. Freight Railroads: Cournot Versus Coase

  2018cites this paper
• Soft Computation Vector Autoregressive Neural Network (VAR-NN) GUI-Based

  2018cites this paper
• Estimating damages from climate-related natural disasters for the Caribbean at 1.5 °C and 2 °C global warming above preindustrial levels

  2018cites this paper
• Don't Rule Out Simple Models Prematurely: A Large Scale Benchmark Comparing Linear and Non-linear Classifiers in OpenML

  2018cites this paper
• Anticipation of Gross Domestic Product Using World Development Indicators

  2018cites this paper
• Forecasting Inflation with Recurrent Neural Networks (PRELIMINARY)

  2018cites this paper
• Linear Mixed-Effect State-Space Forecasting: Completing the algorithm

  2018cites this paper
• The macroeconomic and fiscal implications of inflation forecast errors

  2018cites this paper
• Department of Economics Inflation Forecasting in Sweden using Single Hidden Layer Feedforward Artificial Neural Networks

  2017cites this paper
• Royalty stacking in the U.S. freight railroads: Cournot vs. Coase

  2017cites this paper
• Improving the power of the Diebold–Mariano–West test for least squares predictions

  2017cites this paper
• ARTIFICIAL NEURAL NETWORKS – DYNAMIC FACTOR MODEL

  2017cites this paper
• Evaluating Volatility Forecasting Performance at Different Horizons

  2017cites this paper
• FORECASTING OF MONEY DEMAND IN MALAYSIA USING NEURAL NETWORKS AND ECONOMETRIC MODEL

  2017cites this paper
• Deep Learning for Mortgage Risk*

  2016cites this paper
• The Role of Survey Data in Nowcasting Euro Area GDP Growth

  2016cites this paper
• Forecasting and monetary policy analysis: new empirical evidence

  2016cites this paper
• Modeling and Predicting of Iran's Economic Growth Using ANFIS, Markov Switching and ARIMA Models

  2016cites this paper
• Forecasting US consumer price index: does nonlinearity matter?

  2016cites this paper
• The role of indicator selection in nowcasting euro-area GDP in pseudo-real time

  2016cites this paper
• Methodological development for selection of significant predictors explaining fatal road accidents.

  2016cites this paper
• Economic and Financial Cycles in South Africa

  2016cites this paper
• Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods

  2016cites this paper
• Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques

  2016cites this paper
• On building inference for the statistical neural network with application to Naira-Dollar exchange rate efficiency: A bootstrap approach

  2016cites this paper
• Challenging the Efficient Market Hypothesis with Dynamically Trained Artificial Neural Networks

  2016cites this paper
• Factor‐Augmented Bridge Models (FABM) and Soft Indicators to Forecast Italian Industrial Production

  2016cites this paper
• A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence

  2016cites this paper
• A Comparative Study on Time-delay Neural Network and GARCH Models for Forecasting Agricultural Commodity Price Volatility

  2016cites this paper
• Essays on the nexus between capital market and macroeconomic activity

  2016cites this paper
• On business cycle fluctuations in USA macroeconomic time series

  2016cites this paper
• DESIGNING A FORECAST MODEL FOR ECONOMIC GROWTH OF JAPAN USING COMPETITIVE (HYBRID ANN VS MULTIPLE REGRESSION) MODELS

  2015influential citation
• Forecasting the US CPI: Does Nonlinearity Matter?

  2015cites this paper
• A comparison of two methods of predicting, ANN and times series for Iran’s non-oil exports

  2015cites this paper
• 1 Model Selection for Neural Network Models: A Statistical Perspective

  2015cites this paper
• Comparative Study of Inflation Rates Forecasting Using Feed-Forward Artificial Neural Networks and Auto Regressive (AR) Models

  2015cites this paper
• Advances in applied nonlinear time series modeling

  2015cites this paper
• Social Networks and Research Output

  2014cites this paper
• An Early Warning System for Turkey: The Forecasting Of Economic Crisis by Using the Artificial Neural Networks

  2014cites this paper
• Forecasting transportation infrastructure impacts of renewable energy industry using neural networks

  2014cites this paper
• Testing the value of directional forecasts in the presence of serial correlation

  2014cites this paper