Franses, Philip Hans; Clements, Clements, M.P.; Smith, … - Faculteit der Economische Wetenschappen, Erasmus … - 1999
find only weak evidence that a SETAR model of US GNP provides more accurate forecasts than a linear AR model. …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 …
