Arbeitspapier
Building Neural Network Models for Time Series: A Statistical Approach
This paper is concerned with modelling time series by single hidden layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using existing techniques. The problem of selecting the number of hidden units is solved by sequentially applying Lagrange multiplier type tests, with the aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated neural network model. A small-sample simulation experiment is carried out to show how the proposed modelling strategy works and how the misspecification tests behave in small samples. Two applications to real time series, one univariate and the other multivariate, are considered as well. Sets of one-step-ahead forecasts are constructed and forecast accuracy is compared with that of other nonlinear models applied to the same series.
- Sprache
-
Englisch
- Erschienen in
-
Series: Texto para discussão ; No. 461
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Optimization Techniques; Programming Models; Dynamic Analysis
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Zeitreihenanalyse
Neuronale Netze
Theorie
Nichtlineare Regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Medeiros, Marcelo C.
Terasvirta, Timo
Rech, Gianluigi
- Ereignis
-
Veröffentlichung
- (wer)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (wo)
-
Rio de Janeiro
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Medeiros, Marcelo C.
- Terasvirta, Timo
- Rech, Gianluigi
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Entstanden
- 2002
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