Dueker, Michael; Assenmacher-Wesche, Katrin - In: Applied Economics 42 (2010) 23, pp. 2909-2920
One criticism of Vector Autoregression (VAR) forecasting is that macroeconomic variables tend not to behave as linear functions of their own past around business cycle turning points. A large amount of literature therefore focuses on nonlinear forecasting models, such as Markov switching models,...