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The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2001

. In addition, business cycle nonlinearity is a prominent feature of many such series too. A forecaster can nowadays … we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial …

Persistent link: https://www.econbiz.de/10008570605

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2003

Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series. A closer look at reported empirical studies, however, reveals that these models apparently fit well in-sample, but rarely show a substantial improvement in out-of-sample...

Persistent link: https://www.econbiz.de/10008584688

Nonlinearities and outliers: robust specification of STAR models

Escribano, A.; Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998

Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …

Persistent link: https://www.econbiz.de/10008584751

Seasonal smooth transition autoregression

Franses, Ph.H.B.F.; Bruin, P. de; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2000

In this paper we put forward a new time series model, which describes nonlinearity and seasonality simultaneously. We …-transition nonlinearity and for time-varying seasonality. We find that the model fits the data well for 14 of the 18 series. We also consider …

Persistent link: https://www.econbiz.de/10008465404