A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons
In this paper we investigate the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the with-in-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, 1-step-ahead and multi-step-ahead forecasting are compared for each type of model.
|Date of creation:||21 Oct 2002|
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