A SETAR model for Canadian GDP: non-linearities and forecast comparisons

This paper investigates the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the within-sample fit, the forecasting performance of a standard linear ARIMA model for the same sample has also been generated for comparative purposes. Two forecasting methods, one-step-ahead and multi-step-ahead forecasting, are compared for each type of model.

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Year of publication:	2003
Authors:	Feng, Hui ; Liu, Jia
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 35.2003, 18, p. 1957-1964
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005463379