Table 4 Forecast point estimates and...

Table 4

Forecast point estimates and mean squared errors

Time	SETAR	AR	Observed
2016q1	0.096	−0.062	0.137
2016q2	−0.102	0.043	−0.163
2016q3	−0.172	−0.097	−0.093
2016q4	0.193	0.097	0.104
2017q1	−0.009	−0.003	0.022
2017q2	0.148	0.002	−0.072
2017q3	−0.14	−0.029	−0.233
2017q4	0.108	0.039	0.115
Forecast RMSE	0.099	0.13
Mean absolute error	0.078	0.099

Time	SETAR	AR	Observed
2016q1	0.096	−0.062	0.137
2016q2	−0.102	0.043	−0.163
2016q3	−0.172	−0.097	−0.093
2016q4	0.193	0.097	0.104
2017q1	−0.009	−0.003	0.022
2017q2	0.148	0.002	−0.072
2017q3	−0.14	−0.029	−0.233
2017q4	0.108	0.039	0.115
Forecast RMSE	0.099	0.13
Mean absolute error	0.078	0.099

Note(s): AR = autoregressive model, SETAR = selfexciting threshold autoregressive model, RMSE = root mean square error

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