A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons

In this paper we investigate the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the with-in-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, 1-step-ahead and multi-step-ahead forecasting are compared for each type of model.

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Year of publication:	2002-10-21
Authors:	Feng, Hui ; Liu, Jia
Institutions:	Department of Economics, University of Victoria
Subject:	Theshold model \| non-linearities \| forecasting \| ARIMA model

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Extent:	application/pdf
Series:	Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	ISSN 1485-6441 Number 0206 19 pages
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005801970