✦ LIBER ✦
Forecast performance of nonlinear error-correction models with multiple regimes
✍ Scribed by Zacharias Psaradakis; Fabio Spagnolo
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 154 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0277-6693
- DOI
- 10.1002/for.946
No coin nor oath required. For personal study only.
✦ Synopsis
In this paper we investigate the forecast performance of nonlinear errorcorrection models with regime switching. In particular, we focus on threshold and Markov switching error-correction models, where adjustment towards long-run equilibrium is nonlinear and discontinuous. Our simulation study reveals that the gains from using a correctly specified nonlinear model can be considerable, especially if disequilibrium adjustment is strong and/or the magnitude of parameter changes is relatively large.