This work compares Autometrics with dual penalization techniques such as minimax concave penalty and smoothly clipped absolute deviation under asymmetric error distributions such as exponential, gamma, and Frechet with varying sample sizes as well as predictors. Comprehensive simulations, based on a wide variety of scenarios, reveal that the methods considered show improved performance for increased sample size. In the case of low multicollinearity, these methods show good performance in terms of potency, but in gauge, shrinkage methods collapse, and higher gauge (...) leads to overspecification of the models. High levels of multicollinearity adversely affect the performance of Autometrics. In contrast, shrinkage methods are robust in presence of high multicollinearity in terms of potency, but they tend to select a massive set of irrelevant variables. Moreover, we find that expanding the data mitigates the adverse impact of high multicollinearity on Autometrics rapidly and gradually corrects the gauge of shrinkage methods. For empirical application, we take the gold prices data spanning from 1981 to 2020. While comparing the forecasting performance of all selected methods, we divide the data into two parts: data over 1981–2010 are taken as training data, and those over 2011–2020 are used as testing data. All methods are trained for the training data and then are assessed for performance through the testing data. Based on a root-mean-square error and mean absolute error, Autometrics remain the best in capturing the gold prices trend and producing better forecasts than MCP and SCAD. (shrink)

In order to reduce the dimensionality of parameter space and enhance out-of-sample forecasting performance, this research compares regularization techniques with Autometrics in time-series modeling. We mainly focus on comparing weighted lag adaptive LASSO with Autometrics, but as a benchmark, we estimate other popular regularization methods LASSO, AdaLASSO, SCAD, and MCP. For analytical comparison, we implement Monte Carlo simulation and assess the performance of these techniques in terms of out-of-sample Root Mean Square Error, Gauge, and Potency. The comparison is assessed with (...) varying autocorrelation coefficients and sample sizes. The simulation experiment indicates that, compared to Autometrics and other regularization approaches, the WLAdaLASSO outperforms the others in covariate selection and forecasting, especially when there is a greater linear dependency between predictors. In contrast, the computational efficiency of Autometrics decreases with a strong linear dependency between predictors. However, under the large sample and weak linear dependency between predictors, the Autometrics potency ⟶ 1 and gauge ⟶ α. In contrast, LASSO, AdaLASSO, SCAD, and MCP select more covariates and possess higher RMSE than Autometrics and WLAdaLASSO. To compare the considered techniques, we made the Generalized Unidentified Model for covariate selection and out-of-sample forecasting for the trade balance of Pakistan. We train the model on 1985–2015 observations and 2016–2020 observations as test data for the out-of-sample forecast. (shrink)

The foremost aim of this research was to forecast the performance of three stock market indices using the multilayer perceptron, recurrent neural network, and autoregressive integrated moving average on historical data. Moreover, we compared the extrapolative abilities of a hybrid of ARIMA with MLP and RNN models, which are called ARIMA-MLP and ARIMA-RNN. Because of the complicated and noisy nature of financial data, we combine novel machine-learning techniques such as MLP and RNN with ARIMA model to predict the three stock (...) market data. The data used in this study are taken from the Pakistan Stock Exchange, National Stock Exchange India, and Sri Lanka Stock Exchange. In the case of Pakistan, the findings show that the ARIMA-MLP and ARIMA-RNN beat the individual ARIMA, MLP, and RNN models in terms of accuracy. Similarly, in the case of Sri Lanka and India, the hybrid models show more robustness in terms of forecasting than individual ARIMA, MLP, and RNN models based on root-mean-square error and mean absolute error. Apart from this, ARIMA-MLP outperformed the ARIMA-RNN in the case of Pakistan and India, while in the context of Sri Lanka, ARIMA-RNN beat the ARIMA-MLP in forecasting. Our findings reveal that the hybrid models can be regarded as a suitable option for financial time-series forecasting. (shrink)