Forecasting with STAR model

[TomDoan]

This is an example of forecasting with a STAR model (specifically an LSTAR model). It is based upon the model from the Terasvirta JASA 1994 replication, but with a simpler model. Because a STAR model is non-linear, the forecast, in the sense of the mean of the process, can't be computed analytically. Instead, it is calculated by averaging across simulated values. The non-stochastic forecast is also an object of interest, called the "eventual forecast function". This shows the way that the process cycles in the absence of shocks.

Program:

lynxforecast.rpf

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Data:

LYNX.DAT

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Graph:

lynxforecast.pdf

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