A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons
AbstractIn this paper we investigate the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the with-in-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, 1-step-ahead and multi-step-ahead forecasting are compared for each type of model.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0206.
Length: 19 pages
Date of creation: 21 Oct 2002
Date of revision:
Note: ISSN 1485-6441
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Theshold model; non-linearities; forecasting; ARIMA model;
Other versions of this item:
- Hui Feng & Jia Liu, 2003. "A SETAR model for Canadian GDP: non-linearities and forecast comparisons," Applied Economics, Taylor & Francis Journals, vol. 35(18), pages 1957-1964.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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