Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

Oxford Bulletin of Economics and Statistics

Volumn 65, Issue SUPPL., 2003, Pages 727-744

  Van Dijk, Dick ^a   Franses, Philip Hans ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348198164     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1046/j.0305-9049.2003.00091.x     Document Type: Conference Paper

References (31)

1. Berkowitz, J. (2001). 'Testing density forecasts with applications to risk management', Journal of Business & Economic Statistics, Vol. 19, pp. 465-474.
2. Christoffersen, P. F. (1998). 'Evaluating interval forecasts', International Economic Review, Vol. 39, pp. 841-862.
3. Clark, T. E. (1999). 'Finite-sample properties of tests for equal forecast accuracy', Journal of Forecasting, Vol. 18, pp. 489-504.
4. Clark, T. E. and McCracken, M. W. (2001). 'Tests of equal forecast accuracy and encompassing for nested models', Journal of Econometrics, Vol. 105, pp. 85-110.
5. Clements, M. P. and Hendry, D. H. (1999). Forecasting Non-stationary Economic Time Series, MIT Press, Cambridge, MA.
6. Clements, M. P. and Smith, J. (1999). 'A Monte Carlo study of the forecasting performance of empirical SETAR models', Journal of Applied Econometrics, Vol. 14, pp. 124-141.
7. Clements, M. P. and Smith, J. (2001). 'Evaluating forecasts from SETAR models of exchange rates', Journal of International Money and Finance, Vol. 20, pp. 133-148.
8. Clements, M. P., Franses, P. H., Smith, J. and van Dijk, D. (2003). 'On SETAR non-linearity and forecasting', Journal of Forecasting, Vol. 22, pp. 359-375.
9. Dacco, R. and Satchell, S. (1999). 'Why do regime-switching models forecast so badly?', Journal of Forecasting, Vol. 18, pp. 1-16.
10. De Gooijer, J. G. and Kumar, K. (1992). 'Some recent developments in non-linear time series modelling, testing and forecasting', International Journal of Forecasting, Vol. 8, pp. 135-156.
11. Diebold, F. X. and Mariano, R. S. (1995). 'Comparing predictive accuracy', Journal of Business & Economic Statistics, Vol. 13, pp. 253-263.
12. Diebold, F. X. and Nason, J. A. (1990). 'Nonparametric exchange rate prediction', Journal of International Economics, Vol. 28, pp. 315-332.
13. Diebold, F. X., Gunther, T. A. and Tay, A. S. (1998). 'Evaluating density forecasts with applications to financial risk management', International Economic Review, Vol. 39, pp. 863-883.
14. van Dijk, D., Franses, P. H. and Lucas, A. (1999). 'Testing for smooth transition nonlinearity in the presence of additive outliers', Journal of Business & Economic Statistics, Vol. 17, pp. 217-235.
15. Franses, P. H. and van Dijk, D. (2000). Nonlinear Time Series Models in Empirical Finance, Cambridge University Press, Cambridge.
16. Giacomini, R. (2002). Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods, UCSD Working Paper No. 2002-12, University of California, San Diego.
17. Giacomini, R. and White, H. (2003). Tests of Conditional Predictive Ability, UCSD Working Paper No. 2003-09, University of California, San Diego.
18. Hansen, B. E. (1997). 'Inference in TAR models', Studies in Nonlinear Dynamics and Econometrics, Vol. 2, pp. 1-14.
19. Harvey, D. I., Leybourne, S. J. and Newbold, P. (1997). 'Testing the equality of prediction mean squared errors', International Journal of Forecasting, Vol. 13, pp. 281-291.
20. Harvey, D. I., Leybourne, S. J. and Newbold, P. (1998). 'Tests for forecast encompassing', Journal of Business & Economic Statistics, Vol. 16, pp. 254-259.
21. Harvey, D. I., Leybourne, S. J. and Newbold, P. (1999). 'Forecast evaluation in the presence of ARCH', Journal of Forecasting, Vol. 18, pp. 435-445.
22. McCracken, M. W. (2000). 'Robust out-of-sample inference', Journal of Econometrics, Vol. 99, pp. 195-223.
23. McCracken, M. W. and West, K. D. (2002). 'Inference about predictive ability', in Clements M. P. and Hendry D. F. (eds), A Companion to Economic Forecasting, Basil Blackwell, Oxford, pp. 299-321.
24. Montgomery, A. L., Zarnowitz, V., Tsay, R. S. and Tiao, G. C. (1998). 'Forecasting the US unemployment rate', Journal of the American Statistical Association, Vol. 93, pp. 478-493.
25. Pesaran, M. H. and Potter, S. M. (1997). 'A floor and ceiling model of US output', Journal of Economic Dynamics and Control, Vol. 21, pp. 661-695.
26. Ramsey, J. B. (1996). 'If nonlinear models cannot forecast, what use are they?', Studies in Nonlinear Dynamics and Econometrics, Vol. 1, pp. 65-86.
27. Stock, J. H. and Watson, M. W. (1999). 'A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series', in Engle R. F. and White H. (eds), Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, Oxford University Press, Oxford, pp. 1-44.
28. Tiao, G. C. and Tsay, R. S. (1994). 'Some advances in non-linear and adaptive modelling in time series', Journal of Forecasting, Vol. 13, pp. 109-140 (with discussion).
29. West, K. D. (1996). 'Asymptotic inference about predictive ability', Econometrica, Vol. 64, pp. 1067-1084.
30. West, K. D. (2001). 'Tests for forecast encompassing when forecasts depend on estimated regression parameters', Journal of Business & Economic Statistics, Vol. 19, pp. 29-33.
31. West, K. D. and McCracken, M. W. (1998). 'Regression based tests of predictive ability', International Economic Review, Vol. 39, pp. 817-840.