Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques

In this paper, alternative non-parametric forecasting techniques are analysed, with emphasis placed on the difference between the reconstruction and learning approaches. The former is based on Takens’ Theorem, which recovers unknown dynamic properties of a system; it is appropriate in deterministic systems. The latter is a powerful instrument in noisy systems. Both techniques are applied to the forecasting of Spanish unemployment, first one step -forecasting and second using a longer time horizon of prediction. To assess the robustness and generality of the methods we have employed unemployment time series of different European countries. Copyright Springer Science+Business Media New York 2014