A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
马尔可夫转换与门限自回归模型对美国 GNP 的预测表现比较
While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model. Two methods of analysis are employed: an empirical forecast accuracy comparison of…