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The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts

Gianna Boero () and Emanuela Marrocu ()

Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

Abstract: The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes.

Keywords: setar models; forecasting accuracy; point forecasts; msfes; interval forecasts; density forecasts (search for similar items in EconPapers)
JEL-codes: C51 C53 C22 E17 (search for similar items in EconPapers)
Date: 2002
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https://crenos.unica.it/crenos/node/182
https://crenos.unica.it/crenos/sites/default/files/wp/02-08.pdf (application/pdf)

Related works:
Journal Article: The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts (2004) Downloads
Working Paper: THE PERFORMANCE OF SETAR MODELS: A REGIME CONDITIONAL EVALUATION OF POINT, INTERVAL AND DENSITY FORECASTS (2003) Downloads
Working Paper: THE PERFORMANCE OF SETAR MODELS: A REGIME CONDITIONAL EVALUATION OF POINT, INTERVAL AND DENSITY FORECASTS (2003) Downloads
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