Forecasting with smooth transition autoregressive models
AbstractThis paper considers the use of smooth transition autoregressive models for forecasting. First, the modelling of time series with these nonlinear models is discussed. Techniques for obtaining multiperiod forecasts are presented. The usefulness of forecast densities in the case of nonlinear models is considered and techniques of graphically displaying such densities demonstrated. The paper ends with an empirical example of forecasting two quarterly unemployment series.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 390.
Length: 37 pages
Date of creation: 19 Jun 2000
Date of revision:
Publication status: Published in A Companion to Economic Forecasting, Clements, Michael P., Hendry, David F. (eds.), 2002, chapter 21, pages 485-509, Blackwell.
Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
Density forecast; highest density region; nonlinear forecasting; nonlinear modelling; LSTAR model; time series forecasting;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-08-02 (All new papers)
- NEP-ECM-2000-08-02 (Econometrics)
- NEP-ETS-2000-08-02 (Econometric Time Series)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Luis Eduardo Arango & Luis Fernando Melo, .
"Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models,"
Borradores de Economia
186, Banco de la Republica de Colombia.
- Luis Eduardo Arango & Luis Fernando Melo, 2001. "Expansions and Contractions in Some Latin American Countries: A View Throught Non- Linear Models," BORRADORES DE ECONOMIA 002691, BANCO DE LA REPÚBLICA.
- Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin).
If references are entirely missing, you can add them using this form.