A Study of Neuro-Fuzzy Inference System for Gross Domestic Product Growth Forecasting

In this paper we present a Adaptive Neuro-Fuzzy System (ANFIS) with inputs the lagged dependent variable for the prediction of Gross domestic Product growth rate in six countries. We compare the results with those of Autoregressive (AR) model. We conclude that the forecasting performance of neuro-fuzzy-system in the out-of-sample period is much more superior and can be a very useful alternative tool used by the national statistical services and the banking and finance industry.

Application of Adaptive Neuro-Fuzzy Inference System in Smoothing Transition Autoregressive Models

In this paper we propose and examine an Adaptive Neuro-Fuzzy Inference System (ANFIS) in Smoothing Transition Autoregressive (STAR) modeling. Because STAR models follow fuzzy logic approach, in the non-linear part fuzzy rules can be incorporated or other training or computational methods can be applied as the error backpropagation algorithm instead to nonlinear squares. Furthermore, additional fuzzy membership functions can be examined, beside the logistic and exponential, like the triangle, Gaussian and Generalized Bell functions among others. We examine two macroeconomic variables of US economy, the inflation rate and the 6-monthly treasury bills interest rates.

Application of Adaptive Network-Based Fuzzy Inference System in Macroeconomic Variables Forecasting

In this paper we apply an Adaptive Network-Based Fuzzy Inference System (ANFIS) with one input, the dependent variable with one lag, for the forecasting of four macroeconomic variables of US economy, the Gross Domestic Product, the inflation rate, six monthly treasury bills interest rates and unemployment rate. We compare the forecasting performance of ANFIS with those of the widely used linear autoregressive and nonlinear smoothing transition autoregressive (STAR) models. The results are greatly in favour of ANFIS indicating that is an effective tool for macroeconomic forecasting used in academic research and in research and application by the governmental and other institutions

Proposal of Additional Fuzzy Membership Functions in Smoothing Transition Autoregressive Models

In this paper we present, propose and examine additional membership functions for the Smoothing Transition Autoregressive (STAR) models. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow fuzzy logic approach, more fuzzy membership functions should be tested. Furthermore, fuzzy rules can be incorporated or other training or computational methods can be applied as the error backpropagation or genetic algorithm instead to nonlinear squares. We examine two macroeconomic variables of US economy, the inflation rate and the 6-monthly treasury bills interest rates.

Application of Feed-Forward Neural Networks Autoregressive Models in Gross Domestic Product Prediction

In this paper we present an autoregressive model with neural networks modeling and standard error backpropagation algorithm training optimization in order to predict the gross domestic product (GDP) growth rate of four countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final optimum weights from input-hidden layer after the training process. The forecasts are compared with those of the ordinary autoregressive model and we conclude that the proposed regression-s forecasting results outperform significant those of autoregressive model in the out-of-sample period. The idea behind this approach is to propose a parametric regression with weighted variables in order to test for the statistical significance and the magnitude of the estimated autoregressive coefficients and simultaneously to estimate the forecasts.

A Study of Panel Logit Model and Adaptive Neuro-Fuzzy Inference System in the Prediction of Financial Distress Periods

The purpose of this paper is to present two different approaches of financial distress pre-warning models appropriate for risk supervisors, investors and policy makers. We examine a sample of the financial institutions and electronic companies of Taiwan Security Exchange (TSE) market from 2002 through 2008. We present a binary logistic regression with paned data analysis. With the pooled binary logistic regression we build a model including more variables in the regression than with random effects, while the in-sample and out-sample forecasting performance is higher in random effects estimation than in pooled regression. On the other hand we estimate an Adaptive Neuro-Fuzzy Inference System (ANFIS) with Gaussian and Generalized Bell (Gbell) functions and we find that ANFIS outperforms significant Logit regressions in both in-sample and out-of-sample periods, indicating that ANFIS is a more appropriate tool for financial risk managers and for the economic policy makers in central banks and national statistical services.