In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection,...

We compare linear autoregressive (AR) models and self-exciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A two-regime SETAR process is...