FORECASTING FROM NONLINEAR MODELS IN PRACTICE

Authors
LIN JL GRANGER CWJ
Citation
Jl. Lin et Cwj. Granger, FORECASTING FROM NONLINEAR MODELS IN PRACTICE, Journal of forecasting, 13(1), 1994, pp. 1-9
Citations number
11
Categorie Soggetti
Management,"Planning & Development
Journal title
Journal of forecasting → ACNP
ISSN journal
02776693
Volume
13
Issue
1
Year of publication
1994
Pages
1 - 9
Database
ISI
SICI code
0277-6693(1994)13:1<1:FFNMIP>2.0.ZU;2-B
Abstract
If a simple non-linear autoregressive time-series model is suggested f or a series, it is not straightforward to produce multi-step forecasts from it. Several alternative theoretical approaches are discussed and then compared with a simulation study only for the two-step case. It is suggested that fitting a new model for each forecast horizon may be a satisfactory strategy.