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Combined Forecasts from Linear and Nonlinear Time Series Models

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Author Info

  • N. Terui

    (Tohoku University, Japan)

  • Herman K. van Dijk

    ()
    (Econometric Institute, Erasmus University Rotterdam)

Abstract

Combined forecasts from a linear and a nonlinear model areinvestigated for timeseries with possibly nonlinear characteristics. The forecasts arecombined by aconstant coefficient regression method as well as a time varyingmethod. Thetime varying method allows for a locally (non)linear model. Themethods areapplied to data from two kinds of disciplines: the Canadian lynx andsunspotseries from the natural sciences, and Nelson-Plosser's U.S. seriesfromeconomics. It is shown that the combined forecasts perform well,especially withtime varying coefficients. This result holds for out of sampleperformance forthe sunspot and Canadian lynx number series, but it does notuniformly hold foreconomic time series.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 00-003/4.

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Date of creation: 10 Feb 2000
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Handle: RePEc:dgr:uvatin:20000003

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Web page: http://www.tinbergen.nl

Related research

Keywords: Combining forecasts; ExpAR model; Locally linear (or nonlinear) modeling; Threshold model; Time varying coefficient model;

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  1. Dwight B. Crane & James R. Crotty, 1967. "A Two-Stage Forecasting Model: Exponential Smoothing and Multiple Regression," Management Science, INFORMS, vol. 13(8), pages B501-B507, April.
  2. N. Terui & Herman K. van Dijk, 2000. "Combined Forecasts from Linear and Nonlinear Time Series Models," Tinbergen Institute Discussion Papers 00-003/4, Tinbergen Institute.
  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.
  4. Clements, Michael P & Smith, Jeremy, 1996. "A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models," The Warwick Economics Research Paper Series (TWERPS) 464, University of Warwick, Department of Economics.
  5. 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.
  6. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
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