𝔖 Bobbio Scriptorium
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The performance of alternative forecasting methods for SETAR models

✍ Scribed by Michael P. Clements; Jeremy Smith

Book ID
114174977
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
847 KB
Volume
13
Category
Article
ISSN
0169-2070

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πŸ“œ SIMILAR VOLUMES

A Monte Carlo study of the forecasting p
A Monte Carlo study of the forecasting performance of empirical SETAR models
✍ 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

Robustness of alternative non-linearity
Robustness of alternative non-linearity tests for SETAR models
✍ Wai-Sum Chan; Man-Wai Ng πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 206 KB

## Abstract In recent years there has been a growing interest in exploiting potential forecast gains from the non‐linear structure of self‐exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR‐type n