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Nonlinearities and outliers: robust specification of STAR models

Franses, Philip Hans; van Dijk, Dick; Escribano, A. - Faculteit der Economische Wetenschappen, Erasmus … - 1998

Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …

Persistent link: https://www.econbiz.de/10010837988

Testing for Smooth Transition Nonlinearity in the Presence of Outliers

van Dijk, Dick; Franses, Philip Hans; Lucas, Andre - Faculteit der Economische Wetenschappen, Erasmus … - 1996

nonlinearity. In this paper we propose outlier robust tests for STAR type nonlinearity. These tests are designed such that they … robust tests. An application to several quarterly industrial production indices illustrates that apparent nonlinearity in …

Persistent link: https://www.econbiz.de/10011149259

Forecasting aggregates using panels of nonlinear time series

van Dijk, Dick; Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

Macroeconomic time series such as total unemployment or total industrial production concern data which are aggregated across regions, sectors, or age categories. In this paper we examine if forecasts for these aggregates can be improved by considering panel models for the disaggregate series. As...

Persistent link: https://www.econbiz.de/10010731641

The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2001

. In addition, business cycle nonlinearity is a prominent feature of many such series too. A forecaster can nowadays … we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial …

Persistent link: https://www.econbiz.de/10010731660

Forecasting industrial production with linear, nonlinear, and structural change models

van Dijk, Dick; Siliverstovs, B. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

We compare the forecasting performance of linear autoregressive models, autoregressive models with structural breaks, self-exciting threshold autoregressive models, and Markov switching autoregressive models in terms of point, interval, and density forecasts for h-month growth rates of...

Persistent link: https://www.econbiz.de/10010731704

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

van Dijk, Dick; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2003

Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series. A closer look at reported empirical studies, however, reveals that these models apparently fit well in-sample, but rarely show a substantial improvement in out-of-sample...

Persistent link: https://www.econbiz.de/10010731787

Seasonal smooth transition autoregression

Franses, Philip Hans; van Dijk, Dick; de Bruin, de Bruin, P. - Faculteit der Economische Wetenschappen, Erasmus … - 2000

In this paper we put forward a new time series model, which describes nonlinearity and seasonality simultaneously. We …-transition nonlinearity and for time-varying seasonality. We find that the model fits the data well for 14 of the 18 series. We also consider …

Persistent link: https://www.econbiz.de/10010837909

Time-Varying Smooth Transition Autoregressive Models

Lundbergh, Stefan; Teräsvirta, Timo; van Dijk, Dick - Economics Institute for Research (SIR), … - 2000

Nonlinearity, and regime-switching behavior in particular, and structural change have often been perceived as competing … used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two … obtaining a quick impression of the importance of nonlinearity and/or structural change for a particular time series. This is …

Persistent link: https://www.econbiz.de/10005649404