A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP  

Oleh:

Clements, Michael P. ; Krolzig, Hans-Martin

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 1 no. 1 (1998), page 76-99.
Topik: Business cycles; Monte Carlo simulation; Nonlinear time series; Prediction; Regime shifts.
Fulltext: 47.pdf (448.73KB)

Isi artikel

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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