Forecasting with smooth transition autoregressive models

Stefan Lundbergh () and Timo Teräsvirta
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Stefan Lundbergh: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden

No 390, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper considers the use of smooth transition autoregressive models for forecasting. First, the modelling of time series with these nonlinear models is discussed. Techniques for obtaining multiperiod forecasts are presented. The usefulness of forecast densities in the case of nonlinear models is considered and techniques of graphically displaying such densities demonstrated. The paper ends with an empirical example of forecasting two quarterly unemployment series.

Keywords: Density forecast; highest density region; nonlinear forecasting; nonlinear modelling; LSTAR model; time series forecasting (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2000-06-19
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

Published in A Companion to Economic Forecasting, Clements, Michael P., Hendry, David F. (eds.), 2002, chapter 21, pages 485-509, Blackwell.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0390

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