✦ LIBER ✦

Forecasting from non-linear models in practice

✍ Scribed by Jin-Lung Lin; C. W. J. Granger

Publisher: John Wiley and Sons
Year: 1994
Tongue: English
Weight: 463 KB
Volume: 13
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980130102

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

If a simple non‐linear autoregressive time‐series model is suggested for a series, it is not straightforward to produce multi‐step forecasts from it. Several alternative theoretical approaches are discussed and then compared with a simulation study only for the two‐step case. It is suggested that fitting a new model for each forecast horizon may be a satisfactory strategy.

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