Forecasting with smooth transition autoregressive models
This paper considers the use of smooth transition autoregressive models for forecasting. First, the modelling of time series with these nonlinear models is discussed. Techniques for obtaining multiperiod forecasts are presented. The usefulness of forecast densities in the case of nonlinear models is considered and techniques of graphically displaying such densities demonstrated. The paper ends with an empirical example of forecasting two quarterly unemployment series.
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|Date of creation:||19 Jun 2000|
|Publication status:||Published in A Companion to Economic Forecasting, Clements, Michael P., Hendry, David F. (eds.), 2002, chapter 21, pages 485-509, Blackwell.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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