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A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models

✍ Scribed by Michael P. Clements and Jeremy Smith


Book ID
123709634
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
492 KB
Volume
14
Category
Article
ISSN
0883-7252

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A Monte Carlo study of the forecasting p
✍ Michael P. Clements; Jeremy Smith πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 166 KB πŸ‘ 2 views

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 and GNP, among other variables. We take each of the empirical SETAR models in turn