A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Moments of Markov switching models

Timmerman, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(323) / BLDSC - British Libra...

Threshold models for trended time series

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9905) / BLDSC - British Libr...

Contemporaneous threshold autoregressive models: Estimation, testing and forecasting

Dueker, M.J.
Sola, Martin
Spagnolo, F.

December 2007

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Clements, Mike P.
Krolzig, Hans-Martin

June 1998

While there has been a great deal of interest in the modelling of non-linearities in economic time s...

Forecasting performance of a general varying coefficient model for the UK

Song, H.
Riddington, G.
Glasgow Caledonian Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.2077(19) / BLDSC - British Libra...

Threshold autoregressive and Markov switching models An application to commercial real estate

Maitland-Smith, J.
Brooks, C
Reading Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.993(118) / BLDSC - British Libra...

Predicting Markov-switching vector autoregressive processes

Krolzig, H.
Nuffield Coll. Oxford (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2000/31) / BLDSC - Briti...

A study of threshold autoregressive models with some applications

Thanoon, B.Y

January 1984

SIGLEAvailable from British Library Document Supply Centre- DSC:D173813 / BLDSC - British Library Do...

Comparing probability forecasts in Markov regime switching business cycle methods

Smith, Daniel R.
Layton, Allan P.

July 2007

We evaluate techniques for comparing the ability of Markov regime switching (MRS) models to fit unde...

Performance of alternative forecasting methods for SETAR models

Clements, M.P.
Smith, J
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1996

SETAR - Self Exciting Threshold AutoRegressiveSIGLEAvailable from British Library Document Supply Ce...

Forecasting industrial production with linear, nonlinear, and structural change models

Siliverstovs, B.
Dijk, Dick

May 2003

textabstractWe compare the forecasting performance of linear autoregressive models, autoregressive m...

Forecasting with difference-stationary and trend-stationary models

Clements, M.P.
Hendry, D.F.
Oxford Univ. (United Kingdom). Dept. of Economics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.98057(no 5) / BLDSC - British Li...

Threshold autoregressive modelling in finance The price differences of equivalent assets

Yadav, P.K.
Pope, P.F.
Paudyal, K.
Strathclyde Univ., Glasgow (United Kingdom). Dept. of Accounting and Finance

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.21465(93/052) / BLDSC - British ...

Comparing smooth transition and Markov switching autoregressive models of US Unemployment

Deschamps, Philippe J.

Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the...

The Markov regime switching model as a trading tool

Eftekhari, B.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(34) / BLDSC - British Libr...

Moments of Markov switching models

Timmerman, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(323) / BLDSC - British Libra...

Threshold models for trended time series

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9905) / BLDSC - British Libr...

Contemporaneous threshold autoregressive models: Estimation, testing and forecasting

Dueker, M.J.
Sola, Martin
Spagnolo, F.

December 2007

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Clements, Mike P.
Krolzig, Hans-Martin

June 1998

While there has been a great deal of interest in the modelling of non-linearities in economic time s...

Forecasting performance of a general varying coefficient model for the UK

Song, H.
Riddington, G.
Glasgow Caledonian Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.2077(19) / BLDSC - British Libra...

Threshold autoregressive and Markov switching models An application to commercial real estate

Maitland-Smith, J.
Brooks, C
Reading Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.993(118) / BLDSC - British Libra...

Predicting Markov-switching vector autoregressive processes

Krolzig, H.
Nuffield Coll. Oxford (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2000/31) / BLDSC - Briti...

A study of threshold autoregressive models with some applications

Thanoon, B.Y

January 1984

SIGLEAvailable from British Library Document Supply Centre- DSC:D173813 / BLDSC - British Library Do...

Comparing probability forecasts in Markov regime switching business cycle methods

Smith, Daniel R.
Layton, Allan P.

July 2007

We evaluate techniques for comparing the ability of Markov regime switching (MRS) models to fit unde...

Performance of alternative forecasting methods for SETAR models

Clements, M.P.
Smith, J
Warwick Univ., Coventry (United Kingdom). Dept. of Economics

January 1996

SETAR - Self Exciting Threshold AutoRegressiveSIGLEAvailable from British Library Document Supply Ce...

Forecasting industrial production with linear, nonlinear, and structural change models

Siliverstovs, B.
Dijk, Dick

May 2003

textabstractWe compare the forecasting performance of linear autoregressive models, autoregressive m...

Forecasting with difference-stationary and trend-stationary models

Clements, M.P.
Hendry, D.F.
Oxford Univ. (United Kingdom). Dept. of Economics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.98057(no 5) / BLDSC - British Li...

Threshold autoregressive modelling in finance The price differences of equivalent assets

Yadav, P.K.
Pope, P.F.
Paudyal, K.
Strathclyde Univ., Glasgow (United Kingdom). Dept. of Accounting and Finance

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.21465(93/052) / BLDSC - British ...

Comparing smooth transition and Markov switching autoregressive models of US Unemployment

Deschamps, Philippe J.

Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the...

The Markov regime switching model as a trading tool

Eftekhari, B.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(34) / BLDSC - British Libr...

Moments of Markov switching models

Timmerman, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(323) / BLDSC - British Libra...

Threshold models for trended time series

Kapetanios, G.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(9905) / BLDSC - British Libr...

Contemporaneous threshold autoregressive models: Estimation, testing and forecasting

Dueker, M.J.
Sola, Martin
Spagnolo, F.

December 2007

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a...

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Abstract

Extracted data

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP

Abstract

Extracted data

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