2003-08-01
On SETAR non-linearity and forecasting
Publication
Publication
Journal of Forecasting , Volume 22 - Issue 5 p. 359- 375
We compare linear autoregressive (AR) models and self-exciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A two-regime SETAR process is used as the data-generating process in an extensive set of Monte Carlo simulations, and we consider the discriminatory power of recently developed methods of forecast evaluation for different degrees of non-linearity. We find that the interval and density evaluation methods are unlikely to show the linear model to be deficient on samples of the size typical for macroeconomic data.
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doi.org/10.1002/for.863, hdl.handle.net/1765/11145 | |
Journal of Forecasting | |
Organisation | Erasmus Research Institute of Management |
Clements, M., Franses, P. H., Smith, J., & van Dijk, D. (2003). On SETAR non-linearity and forecasting. Journal of Forecasting, 22(5), 359–375. doi:10.1002/for.863 |