|
EconStor >
Stockholm School of Economics >
EFI - The Economic Research Institute, Stockholm School of Economics >
SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56166
|
| | |
| Title: | | Forecasting economic variables with nonlinear models  |
| Authors: | | Teräsvirta, Timo |
| Issue Date: | | 2005 |
| Series/Report no.: | | SSE/EFI Working Paper Series in Economics and Finance 598 |
| Abstract: | | This article is concerned with forecasting from nonlinear conditional mean models. First, a number of often applied nonlinear conditional mean models are introduced and their main properties discussed. The next section is devoted to techniques of building nonlinear models. Ways of computing multi-step ahead forecasts from nonlinear models are surveyed. Tests of forecast accuracy in the case where the models generating the forecasts are nested are discussed. There is a numerical example, showing that even when a stationary nonlinear process generates the observations, future obervations may in some situations be better forecast by a linear model with a unit root. Finally, some empirical studies that compare forecasts from linear and nonlinear models are discussed. |
| Subjects: | | Forecast accuracy forecast comparison hidden Markov model neural network nonlinear modelling recursive forecast smooth transition regression switching regression |
| JEL: | | C22 C45 C53 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/56166
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|