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Forecasting Using Functional Coefficients Autoregressive Models

Author

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  • Bruno, Giancarlo
Abstract
The use of linear parametric models for forecasting economic time series is widespread among practitioners, in spite of the fact that there is a large evidence of the presence of non-linearities in many of such time series. However, the empirical results stemming from the use of non-linear models are not always as good as expected. This has been sometimes associated to the difficulty in correctly specifying a non-linear parametric model. I this paper I cope with this issue by using a more general non-parametric approach, which can be used both as a preliminary tool for aiding in specifying a suitable parametric model and as an autonomous modelling strategy. The results are promising, in that the non-parametric approach achieve a good forecasting record for a considerable number of series.

Suggested Citation

  • Bruno, Giancarlo, 2008. "Forecasting Using Functional Coefficients Autoregressive Models," MPRA Paper 42335, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:42335
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    References listed on IDEAS

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    More about this item

    Keywords

    Non-linear time-series models; non-parametric models;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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