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Forecasting from non‐linear models in practice

1994; Wiley; Volume: 13; Issue: 1 Linguagem: Inglês

10.1002/for.3980130102

1099-131X

Jin‐Lung Lin, Clive W. J. Granger,

Forecasting Techniques and Applications

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.