← Search

A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks

Norman R. Swanson¹; Halbert White²

¹ Pennsylvania State University · ² University of California San Diego

We take a model selection approach to the question of whether a class of adaptive prediction models (artificial neural networks) is useful for predicting future values of nine macroeconomic variables. We use a variety of out-of-sample forecast-based model selection criteria, including forecast error measures and forecast direction accuracy. Ex ante or real-time forecasting results based on rolling window prediction methods indicate that multivariate adaptive linear vector autoregression models often outperform a variety of (1) adaptive and nonadaptive univariate models, (2) nonadaptive multivariate models, (3) adaptive nonlinear models, and (4) professionally available survey predictions. Further, model selection based on the in-sample Schwarz information criterion apparently fails to offer a convenient shortcut to true out-of-sample performance measures.

DOI

10.1162/003465397557123

Volume

79 (4)

Pages

540-550

Language

en

Export

BibTeX

Sources

openalex crossref