Forecasting from non-linear models in practice

Forecasting from non-linear models in practice

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Article ID: iaor19942528
Country: United Kingdom
Volume: 13
Issue: 1
Start Page Number: 1
End Page Number: 9
Publication Date: Jan 1994
Journal: International Journal of Forecasting
Authors: ,
Abstract:

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.

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