Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation

Alessandra Amendola (), Marcella Niglio () and Cosimo Vitale ()
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Marcella Niglio: University of Salerno
Cosimo Vitale: University of Salerno

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 1-9 from Springer

Abstract: Abstract The forecasts generation from models that belong to the threshold class is discussed. The main problems that arise when forecasts have to be computed from these models are presented and, in particular, least squares, plug-in and combined predictors are pointed out. The performance of the proposed predictors are investigated using simulated and empirical examples that give evidence in favor of the forecasts combination.

Keywords: Threshold models; Forecasts generation; Forecast combination (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_1

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DOI: 10.1007/978-88-470-0704-8_1

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