S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics 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

Download Statistics


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.



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0390 This page was generated on 2014-12-14 19:23:00