Premium
Forecasting from non‐linear models in practice
Author(s) -
Lin JinLung,
Granger C. W. J.
Publication year - 1994
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980130102
Subject(s) - econometrics , computer science , linear model , economics , machine learning
If a simple non‐linear autoregressive time‐series model is suggested for 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.