Clements Michael P.

Michael P. Clements

Information about the author Michael P. Clements will soon be added to the site.
Found 9 papers in total
On SETAR non-linearity and forecasting
On SETAR non-linearity and forecasting
2003
We compare linear autoregressive (AR) models and self-exciting threshold...
Forecasting economic and financial time-series with non-linear models
Forecasting economic and financial time-series with non-linear models
2004
In this paper we discuss the current state-of-the-art in estimating, evaluating, and...
A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure
A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure
2004
We test whether there are nonlinearities in the response of short- and long-term...
Robust evaluation of fixed-event forecast rationality
Robust evaluation of fixed-event forecast rationality
2001
In this paper we introduce a new testing procedure for evaluating the rationality of...
Bootstrapping prediction intervals for autoregressive models
Bootstrapping prediction intervals for autoregressive models
2001
Methods of improving the coverage of Box–Jenkins prediction intervals for linear...
Forecasting economic processes
Forecasting economic processes
1998
When the assumption of constant parameters fails, the in-sample fit of a model may be...
An empirical study of seasonal unit roots in forecasting
An empirical study of seasonal unit roots in forecasting
1997
We assess the usefulness of pre-testing for seasonal roots, based on the Hylleberg et...
Evaluating the rationality of fixed-event forecasts
Evaluating the rationality of fixed-event forecasts
1997
A test of forecast rationality based on the weak efficiency of fixed-event forecasts...
The performance of alternative forecasting methods for SETAR models
The performance of alternative forecasting methods for SETAR models
1997
We compare a number of methods that have been proposed in the literature for obtaining...
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