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Citations for "A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models"

by Clements, Michael P & Smith, Jeremy

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  1. Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Forecasting UK Industrial Production over the Business Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 405-24, September.
  2. Claveria, Oscar & Pons, Ernest & Ramos, Raul, 2007. "Business and consumer expectations and macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 47-69.
  3. Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February.
  4. Oscar Claveria & Enric Monte & Salvador Torra, 2015. "“Self-organizing map analysis of agents' expectations. Different patterns of anticipation of the 2008 financial crisis”," IREA Working Papers 201511, University of Barcelona, Research Institute of Applied Economics, revised Mar 2015.
  5. Oscar Claveria & Salvador Torra, 2013. "“Forecasting Business surveys indicators: neural networks vs. time series models”," AQR Working Papers 201312, University of Barcelona, Regional Quantitative Analysis Group, revised Nov 2013.
  6. Boero, Gianna & Marrocu, Emanuela, 2003. "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS) 663, University of Warwick, Department of Economics.
  7. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774.
  8. Dick Dijk & Philip Hans Franses, 2003. "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 727-744, December.
  9. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
  10. Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Research Papers EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  11. Jack R. Rogers, 2013. "Monetary Transmission to UK Retail Mortgage Rates before and after August 2007," Discussion Papers 1307, Exeter University, Department of Economics.
  12. Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2012. "Optimal forecasting of noncausal autoregressive time series," International Journal of Forecasting, Elsevier, vol. 28(3), pages 623-631.
  13. Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, vol. 22(2), pages 341-361.
  14. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
  15. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer, vol. 9(1), pages 41-57, March.
  16. Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Terui, N. & van Dijk, H.K., 1999. "Combined forecasts from linear and nonlinear time series models," Econometric Institute Research Papers EI 9949-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  18. Bhattacharya, Prasad S. & Thomakos, Dimitrios D., 2008. "Forecasting industry-level CPI and PPI inflation: Does exchange rate pass-through matter?," International Journal of Forecasting, Elsevier, vol. 24(1), pages 134-150.
  19. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  20. Franses, Philip Hans & van Dijk, Dick, 2005. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," International Journal of Forecasting, Elsevier, vol. 21(1), pages 87-102.
  21. Paulo M.M. Rodrigues & Nazarii Salish, 2011. "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers w201128, Banco de Portugal, Economics and Research Department.
  22. Hui Feng & Jia Liu, 2002. "A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons," Econometrics Working Papers 0206, Department of Economics, University of Victoria.
  23. McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
  24. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
  25. Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  26. Kuo, Biing-Shen & Mikkola, Anne, 2000. "Forecasting the Real US/DEM Exchange Rate: TAR vs. AR," Research Discussion Papers 13/2000, Bank of Finland.
  27. repec:hal:journl:halshs-00185373 is not listed on IDEAS
  28. Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
  29. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372, HAL.
  30. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  31. Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.
  32. repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
  33. Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332, April.
  34. G. Boero & E. Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  35. repec:cup:cbooks:9780521779654 is not listed on IDEAS
  36. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.
  37. Nadir Ocal & Denise R. Osborn, 2000. "Business cycle non-linearities in UK consumption and production," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 27-43.
  38. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.
  39. Gabreyohannes, Emmanuel, 2010. "A nonlinear approach to modelling the residential electricity consumption in Ethiopia," Energy Economics, Elsevier, vol. 32(3), pages 515-523, May.
  40. Gianna Boero & Emanuela Marrocu, 2005. "Evaluating non-linear models on point and interval forecasts: an application with exchange rates," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 58(232), pages 91-120.
  41. Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.
  42. David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 139-155.
  43. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  44. Rossen, Anja, 2011. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 113, Hamburg Institute of International Economics (HWWI).
  45. Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, . "Assessing the credibility of a target zone: Evidence from the EMS," Working Papers 2001-04, FEDEA.
  46. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
  47. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  48. repec:hal:journl:halshs-00185372 is not listed on IDEAS
  49. Kostas Mouratidis & Nicola Spagnolo, 2004. "Evaluating currency crises: the case of the European Monetary System," Money Macro and Finance (MMF) Research Group Conference 2003 69, Money Macro and Finance Research Group.
  50. Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
  51. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
  52. 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.
  53. Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian, 2005. "STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 490-509, June.
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