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We compare the forecasting performance of linear autoregressive models, autoregressive models with structural breaks, self-exciting threshold autoregressive models, and Markov switching autoregressive models in terms of point, interval, and density forecasts for h-month growth rates of...
Persistent link: https://www.econbiz.de/10008570631
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