The Review of Economics and Statistics Vol. 80 No. 1 1998
Forecasting Asymmetric Unemployment Rates
Abstract
Asymmetric behavior has been documented in postwar quar-terly U.S. unemployment rates. This suggests that improvement over conventional linear forecasts may be possible through the use of nonlinear time-series models. In this note an out-of-sample forecasting competition is carried out for a set of leading nonlinear time-series models. It is shown that several nonlinear forecasts do indeed dominate the linear forecast. The results are sensitive, however, to whether a stationarity-inducing transfor-mation is applied to the nonstationary unemployment rate series.
- DOI
- 10.1162/003465398557276
- Volume
- 80
- Issue
- 1
- Pages
- 164-168
- Language
- en
- Sources
- openalex crossref