A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
AbstractA forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation, that is, they are fully recursive. The forecasting methods are based on four classes of models: autoregressions (with and without unit root pretests), exponential smoothing, artificial neural networks, and smooth transition autoregressions. The best overall performance of a single method is achieved by autoregressions with unit root pretests, but this performance can be improved when it is combined with the forecasts from other methods.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 6607.
Date of creation: Jun 1998
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Publication status: Published as "Evidence on Structural Instability in Macroeconomic Time Series Relations", JBES, Vol. 14, no. 1 (January 1996): 11-30.
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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 &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ECM-1998-07-13 (Econometrics)
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