Franses, Philip Hans; Clements, Clements, M.P.; Smith, … - Faculteit der Economische Wetenschappen, Erasmus … - 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. …