Forecasting a Mix of Temporal and Non-Temporal Economic Variables with a Mixture-of-Experts Neural Network

Dat-Dao Nguyen, Dennis Kira

Abstract


This study investigates a versatile forecasting technique using an integrated system of Artificial Neural Networks (ANN) and Genetic Algorithms (GA) in a mixture-of-experts architecture to solve a general economic forecasting problem involving a mix of temporal and non-temporal variables. Using Klein Model I as a context and previous estimations from traditional methods as benchmarks, the study provides evidence on the effectiveness and efficiency of this integrated system. ANN helps overcome the imposition of assumptions on the behaviors of related variables, the specification of exact relationships, and the difficulty in nonlinear estimations of the economic model. GA helps overcome the sub-optimality of the tedious trial-and-error process in network building. The flexibility of the mixture-of experts network architecture offers many alternative configurations to capture the peculiarities of variables in context before aggregating intermediate estimations into the final result. The integrated system has shown its ability in processing effectively the mixture of economic variables, and producing efficient estimations and forecasts.


Full Text:

PDF


DOI: https://doi.org/10.5539/ijef.v10n8p141

Copyright (c) 2018 Dat-Dao Nguyen, Dennis Kira

License URL: http://creativecommons.org/licenses/by/4.0

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)  Email: ijef@ccsenet.org

Copyright © Canadian Center of Science and Education

To make sure that you can receive messages from us, please add the 'ccsenet.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.