Nonlinear forecasting in economicsa comparison between comprehension approach versus learning approach. An application to spanish time series

  1. Olmedo, Elena
  2. Valderas Jaramillo, Juan Manuel
  3. Gimeno, Ricardo
  4. Escot Mangas, Lorenzo
Revista:
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ISSN: 1988-8767

Año de publicación: 2005

Número: 204

Tipo: Documento de Trabajo

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Resumen

In this paper alternative non-parametric forecasting techniques are analysed, making emphasis in the difference between the reconstruction and the learning approach. The first one is based on Takens Theorem that recovers unknown dynamic properties of the system; it is appropriate in deterministic systems. The second one is a powerful instrument in noisy systems. These techniques are applied to the forecasting of Spanish unemployment and the Industrial Production Index using one-to-one forecasting and comparing the results with the one obtained using nonlinear models, specifically TAR model.

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