A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP
Michael Clements and
Hans-Martin Krolzig ()
The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics
While there has been a great deal of interest in the modeling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time series models. We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model.
Keywords: TIME SERIES; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:489
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