-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …

out-of-sample forecasting where we compare forecasts from the SEASTAR models with forecasts from nested models. It turns …

several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting …

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using …

we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial … production series for 17 OECD countries. We find that forecasting performance varies widely across series, across forecast …

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …