Forecasting ENSO with a smooth transition autoregressive model
AbstractThis study examines the benets of nonlinear time series modelling to improve forecast accuracy of the El Nino Southern Oscillation (ENSO) phenomenon. The paper adopts a smooth transition autoregressive (STAR) modelling framework to assess the potentially regime-dependent dynamics of sea surface temperature anomaly. The results reveal STAR-type nonlinearities in ENSO dynamics, resulting in superior out-of-sample forecast performance of STAR over the linear autoregressive models. The advantage of nonlinear models is especially apparent in the short- and intermediate-term forecasts. These results are of interest to researchers and policy makers in the elds of climate dynamics, agricultural production, and environmental management.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36890.
Date of creation: Jan 2012
Date of revision:
El Nino Southern Oscillation; Out-of-Sample Forecasting; Smooth Transition Autoregression;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
- NEP-ENV-2012-03-08 (Environmental Economics)
- NEP-FOR-2012-03-08 (Forecasting)
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