On SETAR non-linearity and forecasting

Michael Peter Clements, Philip Hans Franses () and Jeremy Smith

No 141, Econometric Institute Report from Erasmus University Rotterdam, Econometric Institute

Abstract: We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR model. A range of newly-developed forecast evaluation techniques are employed. Our simulation results show that time-series data need to exhibit a substantial degree of non-linearity before the SETAR model is favoured on some of these criteria. We find only weak evidence that a SETAR model of US GNP provides more accurate forecasts than a linear AR model.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1999
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Related works:
Working Paper: On SETAR non- linearity and forecasting (1999)
Journal Article: On SETAR non-linearity and forecasting (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:eureir:1999141

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