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

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

Persistent link: https://www.econbiz.de/10002220582

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 neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

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

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

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 755-774

Persistent link: https://www.econbiz.de/10003150707

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

Novales, Alfonso - In: International journal of forecasting 21 (2005) 4, pp. 775-780

Persistent link: https://www.econbiz.de/10003150708

Reply: [Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination]

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 781-783

Persistent link: https://www.econbiz.de/10003150710

The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

Dijk, Dick van (contributor); Strikholm, Birgit (contributor) - 2001 - [Elektronische Ressource], Received: February 2003, Rev. June 1, 2004

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...

Persistent link: https://www.econbiz.de/10001600051