A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP

While there has been a great deal of interest in the modeling 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.

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Year of publication:	1997
Authors:	Clements, M.P. ; Krolzig, H.-M.
Institutions:	Department of Economics, University of Warwick
Subject:	TIME SERIES \| ECONOMETRICS

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Series:	The Warwick Economics Research Paper Series (TWERPS).
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005747166