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A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons

Hui Feng and Jia Liu ()
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Jia Liu: Department of Economics, University of Victoria, http://web.uvic.ca/econ

No 206, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: In this paper we investigate the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the with-in-sample fit, the forecasting performance of a standard linear ARIMA model for the same sample has also been generated for comparative purposes. Two forecasting methods, 1-step-ahead and multi-step-ahead forecasting are compared for each type of model.

Keywords: Theshold model; non-linearities; forecasting; ARIMA model (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2002-10-21
Note: ISSN 1485-6441
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