Chapter 8 Forecasting economic variables with nonlinear models

By Timo Teräsvirta. 2006

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3b1f638a56ba9dc3541def195512926eed2362a3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Rob J Hyndman
2. J. De Gooijer
3. K. Hubrich
4. Timo Teräsvirta
5. Allan G. Timmermann
6. Anders Bredahl Kock
7. Andrew J. Patton
8. Amir F. Atiya

In Management Science and Operations Research

1. J. De Gooijer
2. Rob J Hyndman
3. K. Hubrich
4. Allan G. Timmermann
5. Timo Teräsvirta
6. Anders Bredahl Kock
7. Fotios Petropoulos
8. Nikolaos Kourentzes

Citations in the corpus

• THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, methodology): “For forecasting with STAR models, see also Lundbergh and Teräsvirta (2002), Teräsvirta (2006) and Kock and Teräsvirta (2011).”
• Elusive Return Predictability (2008, background): “In particular, the underlying data generating process is subject to discrete shifts governed either by some latent variable (as in Hamilton (1989)) or by means of observable threshold variables (see Terasvirta (2006) for a survey).”
• Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques (2016, background): “For discussions, see for example Ter¨asvirta (2006), Ter¨asvirta et al. (2010, Chapter 14), or Kock and Ter¨asvirta (2011a).”
• 25 years of time series forecasting (2006, background): “A good starting point for further research in this area is Teräsvirta (2006); see also Armstrong (2001, items 12.5–12.7).”