Predictive accuracy for chaotic economic models

Authors
Bordignon, S Lisi, F
Citation
S. Bordignon et F. Lisi, Predictive accuracy for chaotic economic models, ECON LETT, 70(1), 2001, pp. 51-58
Citations number
10
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
70
Issue
1
Year of publication
2001
Pages
51 - 58
Database
ISI
SICI code
0165-1765(200101)70:1<51:PAFCEM>2.0.ZU;2-Z
Abstract
In this work we present a technique to obtain prediction intervals for chao tic data. Using nearest neighbors method we give estimates of local varianc e and percentiles of the prediction error distribution. This allows to defi ne an interval containing a future value with a given probability. Its effe ctiveness is shown with data generated by a chaotic economic model. (C) 200 1 Elsevier Science B.V. All rights reserved. JEL classification: C53; C22.