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Forecasting industrial production using non-linear methods

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>07/1995
<mark>Journal</mark>Journal of Forecasting
Issue number4
Volume14
Number of pages12
Pages (from-to)325-336
Publication statusPublished
Original languageEnglish

Abstract

Numerous theoretical models suggests that business cycles involve nonlinear processes. In this paper we examine whether two parametric, nonlinear time-series models—the bilinear and threshold models—can exploit apparent non-linearity in industrial production to provide forecasts superior to those derived from the standard autoregressive models.