() and Timo Teräsvirta
Stefan Lundbergh: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
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.
37 pages, June 19, 2000
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 ().
This page generated on 2018-01-27 00:01:25.