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Combined forecasts from linear and nonlinear time series models

  • Terui, Nobuhiko
  • van Dijk, Herman K.

Combined forecasts from a linear and a nonlinear model are investigated for time series with possibly nonlinear characteristics. The forecasts are combined by a constant coefficient regression method as well as a time varying method. The time varying method allows for a locally (non)linear model. The methods are applied to data from two kinds of disciplines: the Canadian lynx and sunspot series from the natural sciences, and Nelson-Plosser's U.S. series from economics. It is shown that the combined forecasts perform well, especially with time varying coefficients. This result holds for out of sample performance for the sunspot and Canadian lynx number series, but it does not uniformly hold for economic time series.

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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 18 (2002)
Issue (Month): 3 ()
Pages: 421-438

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Handle: RePEc:eee:intfor:v:18:y:2002:i:3:p:421-438
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
  2. De Gooijer, Jan G. & Kumar, Kuldeep, 1992. "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, vol. 8(2), pages 135-156, October.
  3. Terui, Nobuhiko & van Dijk, Herman K., 2002. "Combined forecasts from linear and nonlinear time series models," International Journal of Forecasting, Elsevier, vol. 18(3), pages 421-438.
  4. Clements, Michael P & Smith, Jeremy, 1996. "A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models," The Warwick Economics Research Paper Series (TWERPS) 464, University of Warwick, Department of Economics.
  5. Dwight B. Crane & James R. Crotty, 1967. "A Two-Stage Forecasting Model: Exponential Smoothing and Multiple Regression," Management Science, INFORMS, vol. 13(8), pages B501-B507, April.
  6. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
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