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Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource], Rev. November 9, 2004

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and … class. The point forecast results indicate that the STAR model generally outperforms linear autoregressive models. It also … improves upon several fixed STAR models, demonstrating that careful specification of nonlinear time series models is of crucial …

Persistent link: https://www.econbiz.de/10002127012

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492

Modelling and forecasting economic time series with single hidden-layer feedforward autoregressive artificial neural networks

Rech, Gianluigi - 2001

Persistent link: https://www.econbiz.de/10001628249

A time series model for an exchange rate in a target zone with applications

Lundbergh, Stefan (contributor); … - 2003 - [Elektronische Ressource]

In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...

Persistent link: https://www.econbiz.de/10001786381

Testing the unit root hypothesis against the logistic smooth transition autoregressive model

Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]

In this paper two simple tests to distinguish between unit root processes and stationary nonlinear processes are proposed. New limit distribution results are provided, together with two F type test statistics for the joint unit root and linearity hypothesis against a specific nonlinear...

Persistent link: https://www.econbiz.de/10001845685