Ferrara, Laurent; Marcellino, Massimiliano; Mogliani, Matteo - C.E.P.R. Discussion Papers - 2013
The debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides … large panel of countries. It turns out that, on average, non-linear models cannot outperform standard linear specifications …, even during the Great Recession. However, non-linear models lead to an improvement of the predictive accuracy in almost 40 …