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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Teräsvirta, Timo | | en_US |
| dc.date.accessioned | | 2012-03-28T13:05:08Z | | - |
| dc.date.available | | 2012-03-28T13:05:08Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56166 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Ekonomiska Forskningsinst. Stockholm | | en_US |
| dc.relation.ispartofseries | | SSE/EFI Working Paper Series in Economics and Finance 598 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.jel | | C45 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Forecast accuracy | | en_US |
| dc.subject.keyword | | forecast comparison | | en_US |
| dc.subject.keyword | | hidden Markov model | | en_US |
| dc.subject.keyword | | neural network | | en_US |
| dc.subject.keyword | | nonlinear modelling | | en_US |
| dc.subject.keyword | | recursive forecast | | en_US |
| dc.subject.keyword | | smooth transition regression | | en_US |
| dc.subject.keyword | | switching regression | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.subject.stw | | Mathematische Optimierung | | en_US |
| dc.subject.stw | | Nichtlineares Verfahren | | en_US |
| dc.title | | Forecasting economic variables with nonlinear models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 48832789X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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