Multivariate Time Series Forecasting: Nonparametric Vector Autoregression Using NNS
15 Pages Posted: 13 Dec 2019
Date Written: November 18, 2019
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
JEL Classification: C3, C32, C53
Suggested Citation: Suggested Citation