A Monte Carlo study of the forecasting performance of empirical SETAR models
Clements, Michael P. and Smith, Jeremy (Jeremy P.). (1999) A Monte Carlo study of the forecasting performance of empirical SETAR models. Journal of Applied Econometrics, Volume 14 (Number 2). pp. 123-141. ISSN 0883-7252Full text not available from this repository.
Official URL: http://dx.doi.org/10.1002/(SICI)1099-1255(199903/0...
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|
|Number of Pages:||19|
|Page Range:||pp. 123-141|
|Access rights to Published version:||Restricted or Subscription Access|
Actions (login required)