Forecast Performance of Threshold Autoregressive Models - A Monte Carlo Study
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- Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005.
"Predicting real growth and the probability of recession in the Euro area using the yield spread,"
International Journal of Forecasting,
Elsevier, vol. 21(2), pages 261-277.
- Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
More about this item
KeywordsNonlinear Time Series; Threshold Model; Forecast Performance; Monte Carlo;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1999-11-28 (All new papers)
- NEP-ECM-1999-11-28 (Econometrics)
- NEP-ETS-1999-11-28 (Econometric Time Series)
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