期刊名称：Discussion Papers / School of Business, University of New South Wales
出版年度：2008
卷号：2008
出版社：Sydney
摘要：We show that long horizon forecasts from the nonlinear models that are considered
in the study by Rapach andWohar (2006) cannot generate any forecast gains over
a simple AR(1) specification. This is contrary to the findings reported in Rapach and
Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts
from the ESTAR model is the strongest when forecasting one step-ahead and
that it diminishes as the forecast horizon increases. There exists, therefore, no potential
whatsoever for the considered nonlinear models to outperform linear ones when
forecasting far ahead. We also illustrate graphically why one step-ahead forecasts from
the nonlinear ESTAR model fail to yield superior predictions to a simple AR(1).
