The Forecasting Performance of Seasonal and Nonlinear Models

Asian Economic and Financial Review

关键词: Seasonality;    Nonlinearity;    Interval forecasts;    Density forecasts;    Forecast evaluation tests.;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

In this paper, we compare the forecasting performance of seasonal and non linear autoregressive models in terms of point, interval, and density forecasts for the growth rates of the Tunisian industrial production, for the period 1976:1- 2006:2. Our results suggest that the point forecasts generated by the linear models perform better than those provided by the nonlinear models at all horizons. By contrast, the analysis of interval and density forecasts at horizons of one and three quarters provide an evident support for the nonlinear models, this result is in line with the literature. Thus, our findings assess the usefulness of nonlinear models to investigate the dynamic behavior of economic systems and to produce accurate forecasts.

【 授权许可】

CC BY