A Monte Carlo study of the forecasting performance of empirical SETAR models

Michael P. Clementrs and Jeremy Smith

No 268734, Economic Research Papers from University of Warwick - Department of Economics

Abstract: In this paper we investigate the multi-period forecast performance of a number of empirical selfexciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates and GNP, amongst other variables. We take each of the empirical SETAR models in turn as the DGP to ensure that the ‘non-linearity’ characterises the future, and compare the forecast performance of SETAR and linear autoregressive models on a number of quantitative and qualitative criteria. Our results indicate that non-linear models have an edge in certain states of nature but not in others, and that this can be highlighted by evaluating forecasts conditional upon the regime.

Keywords: Production Economics; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 22
Date: 1997-12-06
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models (1999)
Working Paper: A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:268734

DOI: 10.22004/ag.econ.268734

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