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https://hdl.handle.net/10419/56166
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Teräsvirta, Timo | en |
dc.date.accessioned | 2012-03-28T13:05:08Z | - |
dc.date.available | 2012-03-28T13:05:08Z | - |
dc.date.issued | 2005 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholm | en |
dc.relation.ispartofseries | |aSSE/EFI Working Paper Series in Economics and Finance |x598 | en |
dc.subject.jel | C22 | en |
dc.subject.jel | C45 | en |
dc.subject.jel | C53 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Forecast accuracy | en |
dc.subject.keyword | forecast comparison | en |
dc.subject.keyword | hidden Markov model | en |
dc.subject.keyword | neural network | en |
dc.subject.keyword | nonlinear modelling | en |
dc.subject.keyword | recursive forecast | en |
dc.subject.keyword | smooth transition regression | en |
dc.subject.keyword | switching regression | en |
dc.subject.stw | Prognoseverfahren | en |
dc.subject.stw | Mathematische Optimierung | en |
dc.subject.stw | Nichtlineares Verfahren | en |
dc.title | Forecasting economic variables with nonlinear models | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 48832789X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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