Clements, Michael P. and Smith, Jeremy (1999) A Monte Carlo study of the forecasting performance of empirical SETAR models. Journal of Applied Econometrics, Volume 14 (Number 2). pp. 123-141. doi:10.1002/(SICI)1099-1255(199903/04)14:2<123::AID-JAE493>3.0.CO;2-K ISSN 0883-7252.

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Abstract

In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates acid GNP, among other variables. We take each of the empirical SETAR models in turn as the DGP to ensure that the 'non-linearity' characterizes the future, and compare the forecast performance of SETAR and linear autoregressive models on a number of quantitative and qualitative criteria. Our results indicate that non-linear models have an edge in certain states of nature but not in others, and that this can be highlighted by evaluating forecasts conditional upon the regime. Copyright (C) 1999 John Wiley & Sons, Ltd.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences
Divisions:	Faculty of Social Sciences > Economics
Journal or Publication Title:	Journal of Applied Econometrics
Publisher:	Wiley-Blackwell Publishing, Inc
ISSN:	0883-7252
Official Date:	1999
Dates:	Date Event 1999 Published
Volume:	Volume 14
Number:	Number 2
Number of Pages:	19
Page Range:	pp. 123-141
DOI:	10.1002/(SICI)1099-1255(199903/04)14:2<123::AID-JAE493>3.0.CO;2-K
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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