Clements, M.P.

model forecast forecasting setar journal interval clement density evaluation parameter regime statistic error performance number testing series university paper sample setar models setar model process value table point experiment diebold level price accuracy ar model threshold comparison business non-linearity hansen method density forecasts intercept power p-value forecast performance review coverage distribution rejection normality period approach forecast accuracy output probability econometrics result swanson output growth economic independence volatility 0.000 growth issue alternative point forecasts rejection rates return gaussian estimation heteroscedasticity variable wiley function autoregressive section potter cycle interest franse degree