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Tools for non-linear time series forecasting in economics - An empirical comparison of regime switching vector autoregressive models and recurrent neural networks

Publiceringsår: 2004
Språk: Engelska
Sidor: 71-91
Publikation/Tidskrift/Serie: Applications of Artificial Intelligence in Finance and Economics
Volym: 19
Dokumenttyp: Artikel
Förlag: Elsevier Science B.V.


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.



  • Business and Economics


  • ISSN: 0731-9053
  • ISBN: 978-0-7623-1150-7

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