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A SETAR model for Canadian GDP: non-linearities and forecast comparisons

  • Hui Feng
  • Jia Liu
Registered author(s):

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.

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Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 35 (2003)
Issue (Month): 18 ()
Pages: 1957-1964

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Handle: RePEc:taf:applec:v:35:y:2003:i:18:p:1957-1964
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  1. Lawrence J. Christiano & Martin Eichenbaum, 1990. "Current real business cycle theories and aggregate labor market fluctuations," Working Paper Series, Macroeconomic Issues 90, Federal Reserve Bank of Chicago.
  2. 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.
  3. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February.
  4. J. D. Byers & D. A. Peel, 1994. "Cross country evidence on nonlinearity in industrial production between the wars," Applied Economics Letters, Taylor & Francis Journals, vol. 1(5), pages 77-80.
  5. 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., vol. 22(5), pages 359-375.
  6. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  7. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
  8. 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.
  9. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
  10. Krager, Horst & Kugler, Peter, 1993. "Non-linearities in foreign exchange markets: a different perspective," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 195-208, April.
  11. 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.
  12. D. A. Peel & A. E. H. Speight, 1998. "Threshold nonlinearities in output: some international evidence," Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 323-333.
  13. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(2), pages 391-417, June.
  14. De Gooijer, Jan G. & De Bruin, Paul T., 1998. "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, vol. 37(1), pages 7-14, January.
  15. repec:cup:cbooks:9780521770415 is not listed on IDEAS
  16. Mauro Gallegati & Domenico Mignacca, 1995. "Nonlinearities in business cycle: SETAR models and G7 industrial production data," Applied Economics Letters, Taylor & Francis Journals, vol. 2(11), pages 422-427.
  17. Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
  18. 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.
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