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Citations for "A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models"

by Clements, Michael P & Smith, Jeremy

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  1. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
  2. 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.
  3. Bhattacharya, Prasad S. & Thomakos, Dimitrios D., 2008. "Forecasting industry-level CPI and PPI inflation: Does exchange rate pass-through matter?," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(1), pages 134-150.
  4. Franses, Ph.H.B.F. & van Dijk, D.J.C., 2001. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," Econometric Institute Research Papers EI 2001-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Boero, Gianna & Marrocu, Emanuela, 2003. "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 663, University of Warwick, Department of Economics.
  6. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, Springer, vol. 35(1), pages 11-27, August.
  7. Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2005. "Assessing the credibility of a target zone: evidence from the EMS," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(19), pages 2265-2287.
  8. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 517-547, December.
  9. Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 320-332, April.
  10. David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(2), pages 139-155.
  11. Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Nadir Ocal & Denise R. Osborn, 2000. "Business cycle non-linearities in UK consumption and production," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(1), pages 27-43.
  13. Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2012. "Optimal forecasting of noncausal autoregressive time series," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(3), pages 623-631.
  14. Terui, Nobuhiko & van Dijk, Herman K., 2002. "Combined forecasts from linear and nonlinear time series models," International Journal of Forecasting, Elsevier, Elsevier, vol. 18(3), pages 421-438.
  15. Paulo M.M. Rodrigues & Nazarii Salish, 2011. "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers, Banco de Portugal, Economics and Research Department w201128, Banco de Portugal, Economics and Research Department.
  16. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
  17. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(2), pages 373-399.
  18. Dick Dijk & Philip Hans Franses, 2003. "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 727-744, December.
  19. Oscar Claveria & Salvador Torra, 2013. "“Forecasting Business surveys indicators: neural networks vs. time series models”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201320, University of Barcelona, Research Institute of Applied Economics, revised Nov 2013.
  20. repec:hal:journl:halshs-00185373 is not listed on IDEAS
  21. Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 20(1), pages 133-148, February.
  22. Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1059, Econometric Society.
  23. Yuan, Chunming, 2011. "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(2), pages 342-362, April.
  24. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 22(2), pages 197-220, August.
  25. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9905, Faculty of Economics, University of Cambridge.
  26. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 219-236.
  27. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(4), pages 755-774.
  28. Gianna Boero & Emanuela Marrocu, 2005. "Evaluating non-linear models on point and interval forecasts: an application with exchange rates," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 58(232), pages 91-120.
  29. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 169-183.
  30. 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.
  31. Claveria, Oscar & Pons, Ernest & Ramos, Raul, 2007. "Business and consumer expectations and macroeconomic forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 47-69.
  32. Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
  33. repec:hal:journl:halshs-00185372 is not listed on IDEAS
  34. Gabreyohannes, Emmanuel, 2010. "A nonlinear approach to modelling the residential electricity consumption in Ethiopia," Energy Economics, Elsevier, Elsevier, vol. 32(3), pages 515-523, May.
  35. Kuo, Biing-Shen & Mikkola, Anne, 2000. "Forecasting the Real US/DEM Exchange Rate: TAR vs. AR," Research Discussion Papers, Bank of Finland 13/2000, Bank of Finland.
  36. Hui Feng & Jia Liu, 2002. "A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons," Econometrics Working Papers, Department of Economics, University of Victoria 0206, Department of Economics, University of Victoria.
  37. Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(2), pages 341-361.
  38. Rossen, Anja, 2011. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 113, Hamburg Institute of International Economics (HWWI).
  39. Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian, 2005. "STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 490-509, June.
  40. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, Elsevier, vol. 30(4), pages 1688-1711, December.
  41. Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
  42. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372, HAL.
  43. McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 115-126.
  44. G. Boero & E. Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  45. Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers, University of Crete, Department of Economics 0201, University of Crete, Department of Economics.
  46. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  47. repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
  48. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0608, Econometric Society.
  49. Jack R. Rogers, 2013. "Monetary Transmission to UK Retail Mortgage Rates before and after August 2007," Discussion Papers, Exeter University, Department of Economics 1307, Exeter University, Department of Economics.