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Título:
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Evolutionary computation for macroeconomic forecasting
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Autor/a:
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Claveria, Oscar; Monte Moreno, Enrique; Torra Porras, Salvador
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Otros autores:
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Universitat Politècnica de Catalunya. Departament de Teoria del Senyal i Comunicacions; Universitat Politècnica de Catalunya. VEU - Grup de Tractament de la Parla |
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Abstract:
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The final publication is available at Springer via http://dx.doi.org/10.1007/s10614-017-9767-4 |
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Abstract:
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The main objective of this study is twofold. First, we propose an empirical modelling approach based on genetic programming to forecast economic growth by means of survey data on expectations. We use evolutionary algorithms to estimate a symbolic regression that links survey-based expectations to a quantitative variable used as a yardstick, deriving mathematical functional forms that approximate the target variable. The set of empirically-generated proxies of economic growth are used as building blocks to forecast the evolution of GDP. Second, we use these estimates of GDP to assess the impact of the 2008 financial crisis on the accuracy of agents’ expectations about the evolution of the economic activity in four Scandinavian economies. While we find an improvement in the capacity of agents’ to anticipate economic growth after the crisis, predictive accuracy worsens in relation to the period prior to the crisis. The most accurate GDP forecasts are obtained for Sweden. |
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Abstract:
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Peer Reviewed |
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Materia(s):
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-Àrees temàtiques de la UPC::Informàtica
-Àrees temàtiques de la UPC::Matemàtiques i estadística
-Forecasting
-Genetic programming (Computer science)
-Business and consumer surveys
-Evolutionary algorithms
-Expectations
-Forecasting
-Genetic programming
-Symbolic regression
-Previsió
-Programació genètica (Informàtica) |
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Derechos:
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Tipo de documento:
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Artículo - Versión presentada
Artículo |
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Compartir:
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