Clements, Michael P; Smith, Jeremy - In: Journal of Applied Econometrics 14 (1999) 2, pp. 123-41
In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates and GNP, among other variables. We take each of the empirical SETAR models in...