The forecast generation from threshold models is discussed. The main problems releted to the generetion of forecast from this class of models are presented focusing in particular on olug in last square and combined predictors. The performance of the proposed predictors are investigated using simulated and empirical examples.
Least squares predictors for threshold models: properties and forecast evaluation
AMENDOLA, Alessandra;NIGLIO, Marcella;VITALE, Cosimo Damiano
2008
Abstract
The forecast generation from threshold models is discussed. The main problems releted to the generetion of forecast from this class of models are presented focusing in particular on olug in last square and combined predictors. The performance of the proposed predictors are investigated using simulated and empirical examples.File in questo prodotto:
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