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A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP

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Author Info

  • Clements, M.P.
  • Krolzig, H.-M.

Abstract

While 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 Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 489.

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Length: 29 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:wrk:warwec:489

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Keywords: TIME SERIES ; ECONOMETRICS;

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Cited by:
  1. Philip Rothman, . "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers, East Carolina University, Department of Economics 9813, East Carolina University, Department of Economics.
  2. Moritz Cruz, 2005. "A three-regime business cycle model for an emerging economy," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(7), pages 399-402.
  3. Moritz Cruz, 2005. "The business cycle in a financially deregulated context: Theory and evidence," International Review of Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(3), pages 271-287.

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