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A Comparison Of The Forecast Performance Of Markov-Switching And Threshold Autoregressive Models Of Us Gnp

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  • Clements, Michael P.
  • Krolzig, Hans-Martin

Abstract

While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model. Two methods of analysis are employed: an empirical forecast accuracy comparison of the two models, and a Monte Carlo study. The latter allows us to control for factors that may otherwise undermine the performance of the non-linear models.
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Suggested Citation

  • Clements, Michael P. & Krolzig, Hans-Martin, 1997. "A Comparison Of The Forecast Performance Of Markov-Switching And Threshold Autoregressive Models Of Us Gnp," Economic Research Papers 268771, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:268771
    DOI: 10.22004/ag.econ.268771
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