Bessec, Marie; Bouabdallah, Othman - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 2, pp. 1171-1171
This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying...
