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A SETAR model for Canadian GDP: non-linearities and forecast comparisons

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Abstract:

This paper investigates the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the within-sample fit, the forecasting performance of a standard linear ARIMA model for the same sample has also been generated for comparative purposes. Two forecasting methods, one-step-ahead and multi-step-ahead forecasting, are compared for each type of model.

Document Type: Research Article

DOI: https://doi.org/10.1080/0003684032000160674

Affiliations: Department of Economics, University of Victoria, BC, Canada V8W 2Y2

Publication date: 2003-12-15

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