Forecasting industrial production using non-linear methods

Byers, D. and Peel, David (1995) Forecasting industrial production using non-linear methods. Journal of Forecasting, 14 (4). pp. 325-336. ISSN 0277-6693

Abstract

Numerous theoretical models suggests that business cycles involve nonlinear processes. In this paper we examine whether two parametric, nonlinear time-series models—the bilinear and threshold models—can exploit apparent non-linearity in industrial production to provide forecasts superior to those derived from the standard autoregressive models.