Granger, Clive - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1639-1639
developments in non-linear models took place from the latter part of the century. This paper questions the future development of … non-linear models in economics and shows (via White's Theorem) that any non-linear model can be approximated by a time …-varying parameter linear model. Compared with non-linear models, multi-step forecasts are more easily prepared using time …