Template-Type: ReDIF-Paper 1.0
Author-Name: Clements, M.P.
Author-Name-Last: Clements
Author-Name-First: Michael
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Smith, J.
Author-Name-Last: Smith
Author-Name-First: Jeremy
Title: On SETAR non- linearity and forecasting
Abstract: 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.
Creation-Date: 1999-03-12
File-URL: https://repub.eur.nl/pub/1567/feweco19990331092909.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9914-/A
Keywords: SETAR model, linear AR model, out-of-sample forecasting
Handle: RePEc:ems:eureir:1567