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Forecasting with Ve...
Forecasting with Vector Nonlinear Time Series Models
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- Li, Dao (author)
- Högskolan Dalarna,Statistik
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- He, Changli (author)
- Högskolan Dalarna,Statistik
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(creator_code:org_t)
- Borlänge : Högskolan Dalarna, 2013
- English.
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Series: Working papers in transport, tourism, information technology and microdata analysis, 1650-5581 ; 2013:08
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Abstract
Subject headings
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- This work concerns forecasting with vector nonlinear time series models when errorsare correlated. Point forecasts are numerically obtained using bootstrap methods andillustrated by two examples. Evaluation concentrates on studying forecast equality andencompassing. Nonlinear impulse responses are further considered and graphically sum-marized by highest density region. Finally, two macroeconomic data sets are used toillustrate our work. The forecasts from linear or nonlinear model could contribute usefulinformation absent in the forecasts form the other model.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- forecasts
- nonlinearity
- evaluation
- shocks
- Complex Systems – Microdata Analysis
- Komplexa system - mikrodataanalys
Publication and Content Type
- vet (subject category)
- rap (subject category)
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