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Non-linear relation between industrial production and business surveys data

Author

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  • Bruno, Giancarlo
Abstract
n this paper I compare different models, a linear and a non-linear one, for forecasting industrial production by means of some related indicators. I claim that the difficulties associated with the correct identification of a non-linear model could be a possible cause of the often observed worse performance of non-linear models with respect to linear ones observed in the empirical literature. To cope with this issue I use a non-linear non-parametric model. The results are promising, as the forecasting performance shows a clear improvement over the linear parametric model.

Suggested Citation

  • Bruno, Giancarlo, 2009. "Non-linear relation between industrial production and business surveys data," MPRA Paper 42337, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:42337
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    References listed on IDEAS

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    1. Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Forecasting UK Industrial Production over the Business Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 405-424, September.
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    Cited by:

    1. Maria Rita Ippoliti & Fabiana Sartor & Luigi Martone, 2021. "Trade surveys: qualitative and quantitative indicators," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 75(4), pages 75-85, October-D.
    2. G. Bruno & L. Crosilla & P. Margani, 2019. "Inspecting the Relationship Between Business Confidence and Industrial Production: Evidence on Italian Survey Data," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 1-24, April.

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    More about this item

    Keywords

    Forecasting; Business Surveys; Non-linear time-series models; Non-parametric models;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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