Combined forecasts from linear and nonlinear time series models

[1]  Michael P. Clements,et al.  A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models , 1999 .

[2]  Michael P. Clements,et al.  The Performance of Alternative Forecasting Methods for SETAR Models , 1997 .

[3]  C. Granger,et al.  Modelling Nonlinear Economic Relationships , 1995 .

[4]  John Geweke,et al.  BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES , 1993 .

[5]  R. Fildes Forecasting structural time series models and the kalman filter: Andrew Harvey, 1989, (Cambridge University Press), 554 pp., ISBN 0-521-32196-4 , 1992 .

[6]  J. Gooijer,et al.  Some recent developments in non-linear time series modelling, testing, and forecasting☆ , 1992 .

[7]  M. B. Priestley,et al.  Non-linear and non-stationary time series analysis , 1990 .

[8]  Ruey S. Tsay,et al.  Testing and Modeling Threshold Autoregressive Processes , 1989 .

[9]  Timo Teräsvirta,et al.  Testing linearity against smooth transition autoregressive models , 1988 .

[10]  P. Perron,et al.  Trends and random walks in macroeconomic time series : Further evidence from a new approach , 1988 .

[11]  Ruey S. Tsay,et al.  NON‐LINEAR TIME SERIES ANALYSIS OF BLOWFLY POPULATION , 1988 .

[12]  Neville Davies,et al.  A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series , 1986 .

[13]  R. Tsay Nonlinearity tests for time series , 1986 .

[14]  T. Rao,et al.  An Introduction to Bispectral Analysis and Bilinear Time Series Models , 1984 .

[15]  C. Granger,et al.  Improved methods of combining forecasts , 1984 .

[16]  Gerhard O. Mensch,et al.  TIMS Studies in the management sciences : Burton V. Dean and Joel L. Goldhar (eds.), Management of Research and Innovation, North-Holland Publishing Company, Amsterdam, Vol. 15, 1980, 300 pp. , 1983 .

[17]  B. G. Quinn,et al.  Random Coefficient Autoregressive Models: An Introduction , 1982 .

[18]  T. Ozaki,et al.  Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model , 1981 .

[19]  Genshiro Kitagawa,et al.  A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER , 1981 .

[20]  J. M. Bates,et al.  The Combination of Forecasts , 1969 .

[21]  M. Stone,et al.  The role of significance testing: some data with a message , 1969 .

[22]  James Crotty,et al.  A Two-Stage Forecasting Model: Exponential Smoothing and Multiple Regression , 1967 .

[23]  A. Gottlob,et al.  Monte-Carlo study , 1998 .

[24]  Nobuhiko Terui,et al.  Testing Gaussianity and Linearity of Japanese Stock Returns , 1997 .

[25]  Herman K. van Dijk,et al.  On Bayesian routes to unit roots , 1991 .

[26]  H. Tong Non-linear time series. A dynamical system approach , 1990 .

[27]  Hung Man Tong,et al.  Threshold models in non-linear time series analysis. Lecture notes in statistics, No.21 , 1983 .

[28]  C. Nelson,et al.  Trends and random walks in macroeconmic time series: Some evidence and implications , 1982 .

[29]  Howell Tong,et al.  Threshold autoregression, limit cycles and cyclical data- with discussion , 1980 .

[30]  Edward C. Prescott,et al.  Estimation in the Presence of Stochastic Parameter Variation , 1976 .

[31]  Maurice G. Kendall Time-series , 1973 .