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The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting

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  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Patrick Rakotomarolahy

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

This article gives the asymptotic properties of multivariate k-nearest neighbor regression estimators for dependent variables belonging to Rd, d > 1. The results derived here permit to provide consistent forecasts, and confidence intervals for time series An illustration of the method is given through the estimation of economic indicators used to compute the GDP with the bridge equations. An empirical forecast accuracy comparison is provided by comparing this non-parametric method with a parametric one based on ARIMA modelling that we consider as a benchmark because it is still often used in Central Banks to nowcast and forecast the GDP.

Suggested Citation

  • Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423871, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00423871
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00423871v2
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    Cited by:

    1. Dominique Guégan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Economics Bulletin, AccessEcon, vol. 30(1), pages 508-518.
    2. repec:ebl:ecbull:v:30:y:2010:i:1:p:508-518 is not listed on IDEAS
    3. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," PSE-Ecole d'économie de Paris (Postprint) halshs-00460472, HAL.
    4. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Post-Print halshs-00460472, HAL.
    5. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques," Post-Print halshs-00461711, HAL.

    More about this item

    Keywords

    euro area; Multivariate k-nearest neighbor; asymptotic normality of the regression; mixing time series; confidence intervals; forecasts; economic indicators; euro area.; Plus proches voisins; normalité asymtotique de la régression; intervalle de confiance; prévisions; indicateurs économiques; zone euro.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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