If Nonlinear Models Cannot Forecast, What Use Are They?
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DOI: 10.2202/1558-3708.1013
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Citations
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Cited by:
- Amos Golan & Jeffrey M. Perloff, 2004.
"Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method,"
The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 433-438, February.
- Golan, Amos & Perloff, Jeffrey M., 2002. "Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method," CUDARE Working Papers 25060, University of California, Berkeley, Department of Agricultural and Resource Economics.
- Golan, Amos & Perloff, Jeffrey M., 2002. "Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2bw559zk, Department of Agricultural & Resource Economics, UC Berkeley.
- Xiaojie Xu, 2017. "Short-run price forecast performance of individual and composite models for 496 corn cash markets," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(14), pages 2593-2620, October.
- Daniel Buncic, 2012.
"Understanding forecast failure of ESTAR models of real exchange rates,"
Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
- Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
- Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
- Kian-Ping Lim & Melvin J. Hinich & Venus Khim-Sen Liew, 2005. "Statistical Inadequacy of GARCH Models for Asian Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(3), pages 263-279, December.
- Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004.
"Forecasting the spot prices of various coffee types using linear and non-linear error correction models,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 277-288.
- Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," Borradores de Investigación 2737, Universidad del Rosario.
- Ramsey, J.B., 2002. "Wavelets in Economics and Finance: Past and Future," Working Papers 02-02, C.V. Starr Center for Applied Economics, New York University.
- Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
- Dick van Dijk & Philip Hans Franses, 2003.
"Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 727-744, December.
- van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003. "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers EI 2003-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Agnon, Yehuda & Golan, Amos & Shearer, Matthew, 1999. "Nonparametric, nonlinear, short-term forecasting: theory and evidence for nonlinearities in the commodity markets," Economics Letters, Elsevier, vol. 65(3), pages 293-299, December.
- Antonio Aguirre & Luis A. Aguirre, 1998. "Time series analysis of monthly beef cattle prices with non-linear autoregressive models," Textos para Discussão Cedeplar-UFMG td120, Cedeplar, Universidade Federal de Minas Gerais.
- Bampinas Georgios & Panagiotidis Theodore, 2015.
"On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 657-668, December.
- G. Bampinas & T. Panagiotidis, 2015. "On the relationship between oil and gold before and after financial crisis: Linear, nonlinear and time-varying causality testing," Working Paper series 15-04, Rimini Centre for Economic Analysis.
- Terasvirta, Timo, 2006.
"Forecasting economic variables with nonlinear models,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457,
Elsevier.
- Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
- Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001.
"Forecasting UK Industrial Production over the Business Cycle,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 405-424, September.
- Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
- Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2006. "Episodic nonlinearity in Latin American stock market indices," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 195-199.
- Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2007.
"Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 601-619.
- Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Keele Economics Research Papers KERP 2006/05, Centre for Economic Research, Keele University.
- Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Discussion Paper Series 2006_6, Department of Economics, Loughborough University, revised Mar 2006.
- Siliverstovs, B. & van Dijk, D.J.C., 2003. "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers EI 2003-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, vol. 22(2), pages 341-361.
- Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
- repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
- Witold Orzeszko, 2018. "Prognozowanie indeksu WIG za pomocą jądrowych estymatorów funkcji regresji," Bank i Kredyt, Narodowy Bank Polski, vol. 49(3), pages 253-288.
- Ramsey James B., 2002. "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-29, November.
- Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-6.
- Xiaojie Xu, 2020. "Corn Cash Price Forecasting," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(4), pages 1297-1320, August.
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