SSE/EFI Working Paper Series in Economics and Finance
No 390:
Forecasting with smooth transition autoregressive models
Stefan Lundbergh ()
and Timo Teräsvirta ()
Abstract: This paper considers the use of smooth transition
autoregressive models for forecasting. First, the modelling of time series
with these nonlinear models is discussed. Techniques for obtaining
multiperiod forecasts are presented. The usefulness of forecast densities
in the case of nonlinear models is considered and techniques of graphically
displaying such densities demonstrated. The paper ends with an empirical
example of forecasting two quarterly unemployment series.
Keywords: Density forecast; highest density region; nonlinear forecasting; nonlinear modelling; LSTAR model; time series forecasting; (follow links to similar papers)
JEL-Codes: C22; C52; (follow links to similar papers)
37 pages, June 19, 2000
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- This paper is published as:
-
Lundbergh, Stefan and Timo Teräsvirta, (2002), 'Forecasting with smooth transition autoregressive models' in Clements, Michael P. and David F. Hendry (eds.) A Companion to Economic Forecasting, chapter 21, pages 485-509, Blackwell, ISBN 063125697.
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