Download This PaperMultivariate Time Series Forecasting: Nonparametric Vector Autoregression Using NNS
15 Pages Posted: 13 Dec 2019
Date Written: November 18, 2019
Abstract
This quick note is intended to introduce the intuition behind the 'NNS.VAR' function in the "NNS" R-package, which serves as a nonparametric vector autoregression.
Keywords: vector autoregression, nonparametric, partial moments, nonlinear regression, time-series, multivariate
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JEL Classification: C3, C32, C53
Suggested Citation: Suggested Citation
Viole, Fred, Multivariate Time Series Forecasting: Nonparametric Vector Autoregression Using NNS (November 18, 2019). Available at SSRN: https://ssrn.com/abstract=3489550 or http://dx.doi.org/10.2139/ssrn.3489550
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