Forecasting from non‐linear models in practice
- 1 January 1994
- journal article
- research article
- Published by Wiley in Journal of Forecasting
- Vol. 13 (1) , 1-9
- https://doi.org/10.1002/for.3980130102
Abstract
If a simple non‐linear autoregressive time‐series model is suggested for a series, it is not straightforward to produce multi‐step forecasts from it. Several alternative theoretical approaches are discussed and then compared with a simulation study only for the two‐step case. It is suggested that fitting a new model for each forecast horizon may be a satisfactory strategy.Keywords
This publication has 5 references indexed in Scilit:
- Modelling Nonlinear Economic RelationshipsPublished by Oxford University Press (OUP) ,1993
- Predictors in Dynamic Nonlinear Models: Large-Sample BehaviorEconometric Theory, 1989
- Nonparametric Density Estimation, Prediction, and Regression for Markov SequencesJournal of the American Statistical Association, 1985
- Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous SystemEconometrica, 1984
- Forecasting Transformed SeriesJournal of the Royal Statistical Society Series B: Statistical Methodology, 1976