Forecasting with Vector Nonlinear Time Series Models
2013 (English)Report (Other academic)
This work concerns forecasting with vector nonlinear time series models when errorsare correlated. Point forecasts are numerically obtained using bootstrap methods andillustrated by two examples. Evaluation concentrates on studying forecast equality andencompassing. Nonlinear impulse responses are further considered and graphically sum-marized by highest density region. Finally, two macroeconomic data sets are used toillustrate our work. The forecasts from linear or nonlinear model could contribute usefulinformation absent in the forecasts form the other model.
Place, publisher, year, edition, pages
Borlänge: Högskolan Dalarna , 2013.
Working papers in transport, tourism, information technology and microdata analysis, ISSN 1650-5581 ; 2013:08
forecasts, nonlinearity, evaluation, shocks
Probability Theory and Statistics
Research subject Komplexa system - mikrodataanalys
IdentifiersURN: urn:nbn:se:du-11873OAI: oai:DiVA.org:du-11873DiVA: diva2:606647