Clements, M.P.; Franses, Ph.H.B.F.; Smith, J. - Erasmus University Rotterdam, Econometric Institute - 1999
We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR …-series data need to exhibit a substantial degree of non-linearity before the SETAR model is favoured on some of these criteria. We … find only weak evidence that a SETAR model of US GNP provides more accurate forecasts than a linear AR model. …