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A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons

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Abstract

In 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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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0206.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0206.

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Length: 19 pages
Date of creation: 21 Oct 2002
Date of revision:
Handle: RePEc:vic:vicewp:0206

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
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Web page: http://web.uvic.ca/econ
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Keywords: Theshold model; non-linearities; forecasting; ARIMA model;

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  1. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February.
  2. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 134-44, January.
  3. Clements, Michael P & Smith, Jeremy, 1999. "A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(2), pages 123-41, March-Apr.
  4. De Gooijer, Jan G. & De Bruin, Paul T., 1998. "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, Elsevier, vol. 37(1), pages 7-14, January.
  5. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, Econometric Society, vol. 68(3), pages 575-604, May.
  6. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
  7. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(4), pages 463-475, December.
  8. Christiano, Lawrence J & Eichenbaum, Martin, 1992. "Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations," American Economic Review, American Economic Association, American Economic Association, vol. 82(3), pages 430-50, June.
  9. Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 1(Conferenc), pages C47-C75.
  10. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 130(2), pages 391-417, June.
  11. Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith, 2003. "On SETAR non-linearity and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(5), pages 359-375.
  12. D. A. Peel & A. E. H. Speight, 1998. "Threshold nonlinearities in output: some international evidence," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(3), pages 323-333.
  13. Mauro Gallegati & Domenico Mignacca, 1995. "Nonlinearities in business cycle: SETAR models and G7 industrial production data," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 2(11), pages 422-427.
  14. J. D. Byers & D. A. Peel, 1994. "Cross country evidence on nonlinearity in industrial production between the wars," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(5), pages 77-80.
  15. De Gooijer, Jan G. & Kumar, Kuldeep, 1992. "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 8(2), pages 135-156, October.
  16. Krager, Horst & Kugler, Peter, 1993. "Non-linearities in foreign exchange markets: a different perspective," Journal of International Money and Finance, Elsevier, Elsevier, vol. 12(2), pages 195-208, April.
  17. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521779654.
  18. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(2), pages 277-302, April.
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Cited by:
  1. Cai, Yuzhi, 2007. "A quantile approach to US GNP," Economic Modelling, Elsevier, Elsevier, vol. 24(6), pages 969-979, November.

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