A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP

Michael Peter Clements and Hans-Martin Krolzig ()

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: While there has been a great deal of interest in the modeling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time series models. We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model.

Keywords: TIME SERIES; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:wrk:warwec:489

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