Out-of-Sample Forecast Performance as a Test for Nonlinearity in Time Series
以样本外预测表现检验时间序列非线性
This article uses a local-information, near-neighbor forecasting methodology as a prediction test for evidence of a noisy, chaotic data-generating process underlying the Divisia monetary-aggregate series. Using a nonparametric method known to perform well with low-dimensional chaotic processes infected by noise, accompanied by a robust test of forecast performance evaluation, the authors compare out-of-sample forecasting accuracy from the local-information method to…