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 model. A range of newly-developed forecast evaluation techniques are employed. Our simulation results show that time-series data need to exhibit a substantial degree of...