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The forecasting performance of SETAR models: an empirical application

Boero, G., Lampis, F. (2017) The forecasting performance of SETAR models: an empirical application. Bulletin of Economic Research, 69 (3). pp. 216-228. ISSN 1467-8586. (doi:10.1111/boer.12068) (KAR id:75256)

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Abstract

The aim of this paper is to evaluate the forecasting performance of SETAR models with an application to the Industrial Production Index (IPI) of four major European countries over a period which includes the last Great Recession. Both point and interval forecasts are considered at different horizons against those obtained from two linear models. We follow the approach suggested by Terasvirta et al. (2005) according to which a dynamic specification may improve the forecast¨ performance of the nonlinear models with respect to the linear models. We re-specify the models every twelve months and we find that the advantages of this procedure are particularly evident in the forecast rounds immediately following the re-specification.

Item Type: Article
DOI/Identification number: 10.1111/boer.12068
Uncontrolled keywords: forecasting accuracy, industrial production index, interval forecasts, point forecasts, SETAR models
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: Federico Lampis
Date Deposited: 08 Jul 2019 11:57 UTC
Last Modified: 09 Jul 2019 07:46 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/75256 (The current URI for this page, for reference purposes)
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