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The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts Author info | Abstract | Publisher info | Download info | Related research | Statistics Boero, Gianna
Marrocu, Emanuela
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Article provided by Elsevier in its journal International Journal of Forecasting .
Volume (Year): 20 (2004)
Issue (Month): 2 ()
Pages: 305-320
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Handle: RePEc:eee:intfor:v:20:y:2004:i:2:p:305-320Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast
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Paper Gianna Boero & Emanuela Marrocu, 2002.
"The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts ,"
Working Paper CRENoS
200208, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
[Downloadable!] Boero, Gianna & Marrocu, Emanuela, 2003.
"The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts ,"
The Warwick Economics Research Paper Series (TWERPS)
663, University of Warwick, Department of Economics.
[Downloadable!] References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Clements, Michael P & Smith, Jeremy, 1999.
"A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 14(2), pages 123-41, March-Apr.
[Downloadable!]
Other versions: Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998.
"Evaluating Density Forecasts with Applications to Financial Risk Management ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
Clements, Michael P. & Smith, Jeremy, 1997.
"The performance of alternative forecasting methods for SETAR models ,"
International Journal of Forecasting ,
Elsevier, vol. 13(4), pages 463-475, December.
[Downloadable!] (restricted)
Boero, Gianna & Marrocu, Emanuela, 2002.
"The Performance of Non-linear Exchange Rate Models: A Forecasting Comparison ,"
Journal of Forecasting ,
John Wiley & Sons, Ltd., vol. 21(7), pages 513-42, November.
Gianna Boero & J. Smith & KF. Wallis, 2002.
"The properties of some goodness-of-fit tests ,"
Working Paper CRENoS
200209, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
[Downloadable!]
Other versions: Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997.
"Testing the equality of prediction mean squared errors ,"
International Journal of Forecasting ,
Elsevier, vol. 13(2), pages 281-291, June.
[Downloadable!] (restricted)
Clements, M.P. & Smith J., 1998.
"Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment ,"
The Warwick Economics Research Paper Series (TWERPS)
509, University of Warwick, Department of Economics.
Diebold, Francis X. & Nason, James A., 1990.
"Nonparametric exchange rate prediction? ,"
Journal of International Economics ,
Elsevier, vol. 28(3-4), pages 315-332, May.
[Downloadable!] (restricted)
Other versions: Granger, Clive W J, 1993.
"Strategies for Modelling Nonlinear Time-Series Relationships ,"
The Economic Record ,
The Economic Society of Australia, vol. 69(206), pages 233-38, September.
Krager, Horst & Kugler, Peter, 1993.
"Non-linearities in foreign exchange markets: a different perspective ,"
Journal of International Money and Finance ,
Elsevier, vol. 12(2), pages 195-208, April.
[Downloadable!] (restricted)
Wallis, Kenneth F., 2002.
"Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts ,"
Royal Economic Society Annual Conference 2002
181, Royal Economic Society.
[Downloadable!]
Other versions:
Kenneth F. Wallis, 2001.
"Chi-squared tests of interval and density forecasts and the Bank of England's fan charts ,"
Working Paper Series
083, European Central Bank.
[Downloadable!] Wallis, Kenneth F., 2003.
"Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts ,"
International Journal of Forecasting ,
Elsevier, vol. 19(2), pages 165-175.
[Downloadable!] (restricted) Clements, Michael P. & Smith, Jeremy, 2001.
"Evaluating forecasts from SETAR models of exchange rates ,"
Journal of International Money and Finance ,
Elsevier, vol. 20(1), pages 133-148, February.
[Downloadable!] (restricted)
Christoffersen, Peter F, 1998.
"Evaluating Interval Forecasts ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.
Gianna Boero & Emanuela Marrocu, 2001.
"Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns ,"
Working Paper CRENoS
200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
[Downloadable!]
Anthony Tay & Kenneth F. Wallis, 2000.
"Density Forecasting: A Survey ,"
Econometric Society World Congress 2000 Contributed Papers
0370, Econometric Society.
[Downloadable!]
Diebold, Francis X & Mariano, Roberto S, 1995.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 13(3), pages 253-63, July.
Other versions:
Francis X. Diebold & Robert S. Mariano, 1994.
"Comparing Predictive Accuracy ,"
NBER Technical Working Papers
0169, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 134-44, January.
Anderson, Gordon, 1994.
"Simple tests of distributional form ,"
Journal of Econometrics ,
Elsevier, vol. 62(2), pages 265-276, June.
[Downloadable!] (restricted)
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