THE PERFORMANCE OF SETAR MODELS : A REGIME CONDITIONAL EVALUATION OF POINT, INTERVAL AND DENSITY FORECASTS

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes.SETAR models ; forecasting accuracy ; point forecasts ; MSFEs ; interval forecasts ; density forecasts ; Euro effective exchange rate

Education or just Creativity: what matters most for economic performance?

There is a large consensus among social researchers on the positive role played by human capital on economic performances. The standard way to measure the human capital endowment is to consider the educational attainments by the resident population, usually the share of people with a university degree. Recently, Florida (2002) suggested a different measure of human capital - the “creative class†- based on the actual occupations of individuals in specific jobs like science, engineering, arts, culture, entertainment. However, the empirical analyses carried out so far overlooked a serious measurement problem concerning the clear identification of the education and creativity components of human capital. The main purpose of this paper is to try to disentangle this issue by proposing a disaggregation of human capital into three non-overlapping categories of creative graduates, bohemians and non creative graduates. By using a spatial econometric framework to account for spatial dependence, we assess the concurrent effect of the human capital indicators on total factor productivity for 257 regions of EU27. Our main results indicate that the highly educated creative group is the most relevant one in explaining production efficiency, while the other two categories - non creative graduates and bohemians - exhibit negligible effects. Moreover, a relevant influence is exerted by technological capital and by the level of tolerance providing robust evidence that an innovative, open, inclusive and culturally diverse environment is becoming more and more crucial for productivity enhancements.

The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts

The aim of this paper is to analyse the out-of-sample performance of SETAR models using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts. The benchmark used for the comparison is a linear AR model for point forecast evaluation and a GARCH model for interval and density forecasts. In each case the models are evaluated unconditionally, over the whole forecast period, and conditionally, on the regimes of the SETAR models. The results show that, in general, the performance of the SETAR models improves significantly for the forecasts governed by the regime(s) with fewer observations. However, overall the GARCH model is better able to capture the distributional features of the series and to predict higher ordered moments.SETAR models, point forecasts, interval forecasts, density forecasts, Euro effective exchange rate

Productivity growth in the Old and New Europe: the role of agglomeration externalities

The recent history of Europe is characterized by a dual picture showing the Old and New countries in sharp contrast with respect to their industrial specialisation and economic performance. We aim at analyzing the intertwined performance of regions and industries in New and Old European economies by investigating the effects of local agglomeration externalities (mainly specialisation and diversity externalities) on total factor productivity dynamics. We also analyse the potential influence of regional intangible assets such as human and technological capital. The econometric analysis makes use of spatial econometric techniques to take into account the possibility of cross-border externalities.

They arrive with new information. Tourism flows and production efficiency in the European regions

It is well known that firms productivity is influenced by information spillovers generated either by other firms located nearby or by direct contacts with final demand or by foreign demand in the case of traded products. In this paper we investigate a new channel of efficiency - enhancing information spillovers: tourism flows. The idea is that tourists, in general, have preferences for high quality goods and differentiated products which are revealed when they buy local products in the tourism destinations, thus transmitting relevant information to the local firms. The latter, in turn, exploit this new information generating a positive impact on the efficiency level of the local economy. More specifically we examine the effects of tourist flows on regional total factor productivity, within a spatial dynamic model, controlling also for other intangible factors (such as human, social and technological capital) and for the degree of accessibility. We apply the analysis to 199 European regions belonging to the EU15 member countries, plus Switzerland and Norway. The econometric results show the positive impact of tourism flows on regional efficiency levels together with the positive role played by intangible assets, infrastructures and spatial spillovers

The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes

They arrive with new information. Tourism flows and production efficiency in the European regions

It is well known that firms productivity is influenced by information spillovers generated either by other firms located nearby or by direct contacts with final demand or by foreign demand in the case of traded products. In this paper we investigate a new channel of efficiency - enhancing information spillovers: tourism flows. The idea is that tourists, in general, have preferences for high quality goods and differentiated products which are revealed when they buy local products in the tourism destinations, thus transmitting relevant information to the local firms. The latter, in turn, exploit this new information generating a positive impact on the efficiency level of the local economy. More specifically we examine the effects of tourist flows on regional total factor productivity, within a spatial dynamic model, controlling also for other intangible factors (such as human, social and technological capital) and for the degree of accessibility. We apply the analysis to 199 European regions belonging to the EU15 member countries, plus Switzerland and Norway. The econometric results show the positive impact of tourism flows on regional efficiency levels together with the positive role played by intangible assets, infrastructures and spatial spillovers

The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes

Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models

The aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the period 1950.1-2002.7. NAIRU Phillips curve models forecasts are contrasted with those obtained by a special class of nonlinear time series models, the threshold autoregressive models. The forecast evaluation is conducted on point and density forecasts. The results show that overall the non linear specification are better able to capture the distributional features of the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted

Modelli non lineari per i tassi di cambio: un confronto previsivo

In recent years there has been a considerable development in time seriesanalysis, represented mainly by alternative linear models able to describe more adequately the short and long term dynamics and by the renewed interest in modelling nonlinearities and asymmetries in economic and financial variables. Given the relevance of such variables in devising economic and monetary policy, it is of theoretical, as well as practical, importance to propose statistical methods appropriate to represent their dynamic behaviour. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates, namely the French Franc (FF/$), the German Mark (DM/$) and the Japanese Yen (Y/$). We compare the relative performance of some nonlinear models and contrast them with their simpler linear counterparts. Although we find evidence of noticeable forecasting gains from nonlinear models, the results are sensitive to the metric adopted to measure the forecasting accuracy.e