On SETAR non- linearity and forecasting
1999-03-12
Research Paper
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We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR model. A range of newly-developed forecast evaluation techniques are employed. Our simulation results show that time-series data need to exhibit a substantial degree of non-linearity before the SETAR model is favoured on some of these criteria. We find only weak evidence that a SETAR model of US GNP provides more accurate forecasts than a linear AR model.
Keywords
Automatically Extracted Terms
- forecast
- model
- setar
- interval
- table
- evaluation
- density
- error
- regime
- number
- forecasting
- setar models
- setar model
- level
- forecast performance
- testing
- ar model
- statistic
- period
- p-value
