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dc.contributor.authorTeräsvirta, Timoen_US
dc.date.accessioned2012-03-28T13:05:08Z-
dc.date.available2012-03-28T13:05:08Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/56166-
dc.description.abstractThis 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.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 598en_US
dc.subject.jelC22en_US
dc.subject.jelC45en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keywordForecast accuracyen_US
dc.subject.keywordforecast comparisonen_US
dc.subject.keywordhidden Markov modelen_US
dc.subject.keywordneural networken_US
dc.subject.keywordnonlinear modellingen_US
dc.subject.keywordrecursive forecasten_US
dc.subject.keywordsmooth transition regressionen_US
dc.subject.keywordswitching regressionen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwMathematische Optimierungen_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.titleForecasting economic variables with nonlinear modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn48832789Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_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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