Language selection

Government of Canada / Gouvernement du Canada

Search

Forecasting GDP growth using artificial neural networks / by Greg Tkacz and Sarah Hu.: FB3-2/99-3E-PDF

In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. At the 4-quarter horizon, however, the improved forecast accuracy is statistically significant. The root mean squared forecast errors of the best neural network models are about 15 to 19 per cent lower than their linear model counterparts. The improved forecast accuracy may be capturing more fundamental non-linearities between financial variables and real output growth at the longer horizon.--Abstract

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571705&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleForecasting GDP growth using artificial neural networks / by Greg Tkacz and Sarah Hu.
Series title
  • Bank of Canada working paper 1701-9397 99-3
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[English]
Note(s)
  • "In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. At the 4-quarter horizon, however, the improved forecast accuracy is statistically significant. The root mean squared forecast errors of the best neural network models are about 15 to 19 per cent lower than their linear model counterparts. The improved forecast accuracy may be capturing more fundamental non-linearities between financial variables and real output growth at the longer horizon."--Abstract.
  • The ISBN (0-662-27537-3) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication.
  • Résumé en français.
Publishing information
  • Ottawa - Ontario : Bank of Canada January 1999.
Description33p.figs., graphs, references, tables
ISSN1701-9397
Catalogue number
  • FB3-2/99-3E-PDF
Subject terms
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.

Page details

Report a problem or mistake on this page
Date modified: