The Forecasting Performance of SETAR Models: An Empirical Application

13 Pages Posted: 4 Jul 2017

See all articles by Gianna Boero

Gianna Boero

University of Warwick - Department of Economics

Federico Lampis

University of Birmingham

Date Written: July 2017

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 Teräsvirta 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.

Keywords: forecasting accuracy, industrial production index, interval forecasts, point forecasts, SETAR models

JEL Classification: C22, C52, C53

Suggested Citation

Boero, Gianna and Lampis, Federico, The Forecasting Performance of SETAR Models: An Empirical Application (July 2017). Bulletin of Economic Research, Vol. 69, Issue 3, pp. 216-228, 2017, Available at SSRN: https://ssrn.com/abstract=2996818 or http://dx.doi.org/10.1111/boer.12068

Gianna Boero (Contact Author)

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom

Federico Lampis

University of Birmingham ( email )

Edgbaston, B15 2TT
United Kingdom

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
0
Abstract Views
156
PlumX Metrics