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Forecasting U.S. output growth with non-linear models in the presence of data uncertainty
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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. doi:10.1515/1558-3708.1865 ISSN 1081-1826.
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Official URL: http://dx.doi.org/10.1515/1558-3708.1865
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 | ||||
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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 | ||||
Official Date: | 2012 | ||||
Dates: |
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Volume: | Vol.16 | ||||
Number: | No.1 | ||||
Page Range: | p. 2 | ||||
DOI: | 10.1515/1558-3708.1865 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 20 December 2015 | ||||
Date of first compliant Open Access: | 20 December 2015 |
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