Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output
美国实际产出状态切换时间序列模型的有效性评估
Two types of state-switching models for U.S. real output have been proposed: models that switch randomly between states and models that switch states deterministically, as in the threshold autoregressive model of Potter. These models have been justified primarily on how well they fit the sample data, yielding statistically significant estimates of the model coefficients. Here we propose a new approach to the evaluation of an estimated nonlinear time series model that…