Siddharth, Arora; Little Max A.; McSharry Patrick E. - In: Studies in Nonlinear Dynamics & Econometrics 17 (2013) 4, pp. 395-420
Numerous time series models are available for forecasting economic output. Autoregressive models were initially applied to US gross national product (GNP), and have been extended to nonlinear structures, such as the self-exciting threshold autoregressive (SETAR) and Markov-switching...