GPVECM-A new integrated forecasting method
Shanying Xu · Systems Engineering - Theory & Practice · 2008
Considering the information demand of forecasting,we propose a method called GPVECM by combining genetic programming with vector error correction model,to summarize useful information from many economic variables and forecast.This method could construct new features directly from non-stationary time series,aiming to minimize forecasting error.We adopt a one-step process to assure the factors constructed satisfying the assumptions of the econometric model.Empirical results of Chinese gross trade forecasting show that the method could improve accuracy remarkably.