On SETAR non- linearity and forecasting
Philip Hans Franses and
Authors registered in the RePEc Author Service: Jeremy Smith and
Julie Patricia Smith
No EI 9914-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
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.
Keywords: SETAR model; linear AR model; out-of-sample forecasting (search for similar items in EconPapers)
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Journal Article: On SETAR non-linearity and forecasting (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1567
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