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A SETAR model for Canadian GDP: non-linearities and forecast comparisons

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Author Info
Hui Feng
Jia Liu

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Abstract

This paper investigates the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the within-sample fit, the forecasting performance of a standard linear ARIMA model for the same sample has also been generated for comparative purposes. Two forecasting methods, one-step-ahead and multi-step-ahead forecasting, are compared for each type of model.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 35 (2003)
Issue (Month): 18 (December)
Pages: 1957-1964
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Handle: RePEc:taf:applec:v:35:y:2003:i:18:p:1957-1964

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  1. 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!]
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  2. Gallegati, Mauro & Mignacca, Domenico, 1995. "Nonlinearities in Business Cycle: SETAR Models and G7 Industrial Production Data," Applied Economics Letters, Taylor and Francis Journals, vol. 2(11), pages 422-27, November. [Downloadable!] (restricted)
  3. 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)
  4. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April. [Downloadable!] (restricted)
  5. Byers, J D & Peel, D A, 1994. "Cross Country Evidence on Nonlinearity in Industrial Production between the Wars," Applied Economics Letters, Taylor and Francis Journals, vol. 1(5), pages 77-80, May. [Downloadable!] (restricted)
  6. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
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  7. Peel, D A & Speight, A E H, 1998. "Threshold Nonlinearities in Output: Some International Evidence," Applied Economics, Taylor and Francis Journals, vol. 30(3), pages 323-33, March. [Downloadable!] (restricted)
  8. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(2), pages 391-417, June. [Downloadable!] (restricted)
  9. Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Report EI 9914-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  10. Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C47-C75.
  11. 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)
  12. De Gooijer, Jan G. & De Bruin, Paul T., 1998. "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, vol. 37(1), pages 7-14, January. [Downloadable!] (restricted)
  13. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February. [Downloadable!] (restricted)
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  14. Lawrence J. Christiano & Martin Eichenbaum, 1990. "Current real business cycle theories and aggregate labor market fluctuations," Discussion Paper / Institute for Empirical Macroeconomics 24, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  15. De Gooijer, Jan G. & Kumar, Kuldeep, 1992. "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, vol. 8(2), pages 135-156, October. [Downloadable!] (restricted)
  16. 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.
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  17. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun. [Downloadable!] (restricted)
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