A SETAR model for Canadian GDP: non-linearities and forecast comparisons
This paper investigates the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the within-sample fit, the forecasting performance of a standard linear ARIMA model for the same sample has also been generated for comparative purposes. Two forecasting methods, one-step-ahead and multi-step-ahead forecasting, are compared for each type of model.
Volume (Year): 35 (2003)
Issue (Month): 18 ()
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