Forecasting European GDP Using Self-Exciting Threshold Autoregressive Models. A Warning

Jesus Crespo-Cuaresma
Additional contact information
Jesus Crespo-Cuaresma: Institute for Advanced Studies, Vienna
Authors registered in the RePEc Author Service: Jesus Crespo Cuaresma

No 79, Economics Series from Institute for Advanced Studies

Abstract: A two-regime self-exciting threshold autoregressive process is estimated for quarterly aggregate GDP of the fifteen countries that compose the European Union, and the forecasts from this nonlinear model are compared, by means of a Monte Carlo simulation, with those from a simple autoregressive model, whose lag length is chosen to minimize Akaike's AIC criterion. The results are very negative for the SETAR model when the Monte Carlo procedure is used to generate multi-step forecasts. When the "naive" procedure of generating forecasts is used, the results are surprisingly better for the SETAR model in long-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even poorer results for the nonlinear model.

Keywords: Nonlinear Time Series Models; SETAR Models; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2000-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://irihs.ihs.ac.at/id/eprint/1254 First version, 2000 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ihs:ihsesp:79

Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Josefstädterstr. 39, A-1080 Vienna, Austria

Access Statistics for this paper

More papers in Economics Series from Institute for Advanced Studies Josefstädterstr. 39, A-1080 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Doris Szoncsitz ().