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    Forecast performance of nonlinear error-correction models with multiple regimes

    Spagnolo, F. and Psaradakis, Zacharias (2005) Forecast performance of nonlinear error-correction models with multiple regimes. Journal of Forecasting 24 (2), pp. 119-138. ISSN 0277-6693.

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    In this paper we investigate the forecast performance of nonlinear error‐correction models with regime switching. In particular, we focus on threshold and Markov switching error‐correction models, where adjustment towards long‐run equilibrium is nonlinear and discontinuous. Our simulation study reveals that the gains from using a correctly specified nonlinear model can be considerable, especially if disequilibrium adjustment is strong and/or the magnitude of parameter changes is relatively large.


    Item Type: Article
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Sarah Hall
    Date Deposited: 21 Jul 2020 07:32
    Last Modified: 02 Aug 2023 18:01


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