Approximate Nonlinear Forecasting Methods

摘要: We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to best possible forecast. Although it is in principle obtain superior approximations optimal forecast methods, there some potentially serious practical challenges. Primary among these computational difficulties, dangers overfit, and potential difficulties interpretation. In this chapter we discuss issues detail. Then propose illustrate use a new family methods (QuickNet) that achieves benefits model predictors while avoiding or mitigating other challenges methods.