A Monte Carlo study of the forecasting p
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Michael P. Clements; Jeremy Smith
📂
Article
📅
1999
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John Wiley and Sons
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English
⚖ 166 KB
👁 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