Journal article 1161 views
A quantile approach to US GNP
Yuzhi Cai 
Economic Modelling, Volume: 24
Swansea University Author:
Yuzhi Cai
Abstract
In this paper we fitted a quantile self-exciting threshold autoregressive (QSETAR) time series model tothe growth rate of real US GNP. We also presented a forecasting method for QSETAR models. Thisforecasting method makes it possible to obtain the predictive quantiles and predictive distribution fun...
| Published in: | Economic Modelling |
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| Published: |
2007
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa15293 |
| Abstract: |
In this paper we fitted a quantile self-exciting threshold autoregressive (QSETAR) time series model tothe growth rate of real US GNP. We also presented a forecasting method for QSETAR models. Thisforecasting method makes it possible to obtain the predictive quantiles and predictive distribution functionof xt+m given xt for mN0, and hence any quantities of interest can be derived. Therefore, this new approachallows us to study the US GNP from a distribution point view, rather than from a mean point of view. Theresults obtained in this paper show that the method works very well in practice.© 2007 Elsevier B.V. All rights reserved. |
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| Keywords: |
Bayesian inference; Predictive quantiles; Predictive density functions; QSETAR model; US GNP |
| College: |
Faculty of Humanities and Social Sciences |
| End Page: |
979 |