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A forecasting procedure for nonlinear autoregressive time series models

  • Yuzhi Cai

    (School of Mathematics and Statistics, University of Plymouth, UK)

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    Forecasting for nonlinear time series is an important topic in time series analysis. Existing numerical algorithms for multi-step-ahead forecasting ignore accuracy checking, alternative Monte Carlo methods are also computationally very demanding and their accuracy is difficult to control too. In this paper a numerical forecasting procedure for nonlinear autoregressive time series models is proposed. The forecasting procedure can be used to obtain approximate m-step-ahead predictive probability density functions, predictive distribution functions, predictive mean and variance, etc. for a range of nonlinear autoregressive time series models. Examples in the paper show that the forecasting procedure works very well both in terms of the accuracy of the results and in the ability to deal with different nonlinear autoregressive time series models. Copyright © 2005 John Wiley & Sons, Ltd.

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    File URL: http://hdl.handle.net/10.1002/for.959
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    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 24 (2005)
    Issue (Month): 5 ()
    Pages: 335-351

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    Handle: RePEc:jof:jforec:v:24:y:2005:i:5:p:335-351
    DOI: 10.1002/for.959
    Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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    1. 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., vol. 14(2), pages 123-41, March-Apr.
    2. 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, vol. 1(Conferenc), pages C47-C75.
    3. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
    4. 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.
    5. Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February.
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