A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP
AbstractWhile there has been a great deal of interest in the modeling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time series models. We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model.
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Bibliographic InfoPaper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 489.
Length: 29 pages
Date of creation: 1997
Date of revision:
TIME SERIES ; ECONOMETRICS;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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