A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP
AbstractWhile there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model. Two methods of analysis are employed: an empirical forecast accuracy comparison of the two models, and a Monte Carlo study. The latter allows us to control for factors that may otherwise undermine the performance of the non-linear models.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 1 (1998)
Issue (Month): ConferenceIssue ()
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