Clements, Michael P.. (2012) Forecasting U.S. output growth with non-linear models in the presence of data uncertainty. Studies in Nonlinear Dynamics & Econometrics, Vol.16 (No.1). p. 2. ISSN 1081-1826

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Abstract

We consider the impact of data revisions on the forecast performance of a SETAR regime-switching model of U.S. output growth. The impact of data uncertainty in real-time forecasting will affect a model's forecast performance via the effect on the model parameter estimates as well as via the forecast being conditioned on data measured with error. We find that benchmark revisions do affect the performance of the non-linear model of the growth rate, and that the performance relative to a linear comparator deteriorates in real-time compared to a pseudo out-of-sample forecasting exercise.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Gross national product -- United States -- Econometric models, Economic development -- United States -- Econometric models, Economic forecasting
Journal or Publication Title:	Studies in Nonlinear Dynamics & Econometrics
Publisher:	Walter de Gruyter GmbH & Co. KG
ISSN:	1081-1826
Date:	2012
Volume:	Vol.16
Number:	No.1
Page Range:	p. 2
Identification Number:	10.1515/1558-3708.1865
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/44538

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