Forecasting ENSO with a smooth transition autoregressive model

This study examines the benets of nonlinear time series modelling to improve forecast accuracy of the El Nino Southern Oscillation (ENSO) phenomenon. The paper adopts a smooth transition autoregressive (STAR) modelling framework to assess the potentially regime-dependent dynamics of sea surface temperature anomaly. The results reveal STAR-type nonlinearities in ENSO dynamics, resulting in superior out-of-sample forecast performance of STAR over the linear autoregressive models. The advantage of nonlinear models is especially apparent in the short- and intermediate-term forecasts. These results are of interest to researchers and policy makers in the elds of climate dynamics, agricultural production, and environmental management