Chapter

Forecasting from nonlinear models

Timo Teräsvirta, Dag Tjøstheim and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print December 2010 | ISBN: 9780199587148
Published online May 2011 | e-ISBN: 9780191595387 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199587148.003.0014

Series: Advanced Texts in Econometrics

Forecasting from nonlinear models

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A major purpose of nonlinear models is forecasting. This often requires numerical techniques, and a few alternatives are considered. There are also cases in which analytical forecasts are available, and some of them are shown as examples. Measuring forecast accuracy is given some consideration. This includes comparing forecasts from different models using statistical tests. Published studies comparing between forecasts from linear and nonlinear models in order to assess the usefulness of nonlinear models are discussed.

Keywords: economic forecasting; forecast accuracy; forecast comparison; forecasting volatility

Chapter.  9514 words. 

Subjects: Econometrics and Mathematical Economics

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