Combined Forecasts from Linear and Nonlinear Time Series Models

N. Terui and Herman van Dijk
Additional contact information
N. Terui: Tohoku University, Japan

No 00-003/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper resulted in a publication in the 'International Journal of Forecasting' , 2002, 18(3), 421-438.

Combined forecasts from a linear and a nonlinear model are investigated for time series with possibly nonlinear characteristics. The forecasts are combined by a constant coefficient regression method as well as a time varying method. The time varying method allows for a locally (non)linear model. The methods are applied to data from two kinds of disciplines: the Canadian lynx and sunspot series from the natural sciences, and Nelson-Plosser's U.S. series from economics. It is shown that the combined forecasts perform well, especially with time varying coefficients. This result holds for out of sample performance for the sunspot and Canadian lynx number series, but it does not uniformly hold for economic time series.

Keywords: Combining forecasts; ExpAR model; Locally linear (or nonlinear) modeling; Threshold model; Time varying coefficient model (search for similar items in EconPapers)
Date: 2000-02-10
References: Add references at CitEc
Citations: View citations in EconPapers (54)

Downloads: (external link)
https://papers.tinbergen.nl/00003.pdf (application/pdf)

Related works:
Journal Article: Combined forecasts from linear and nonlinear time series models (2002)
Working Paper: Combined forecasts from linear and nonlinear time series models (1999)
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:tin:wpaper:20000003

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().