## Abstract We compare linear autoregressive (AR) models and selfβexciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A twoβregime SETAR proc
β¦ LIBER β¦
On forecasting SETAR processes
β Scribed by Jan G. De Gooijer; Paul T. De Bruin
- Book ID
- 104302691
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 359 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0167-7152
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