Bilinear Model: multi-step-ahead rolling forecasts

This is the development of a 2nd Edition of Enders' RATS Programming Manual.

Moderator: TomDoan

Bilinear Model: multi-step-ahead rolling forecasts

Unread postby ac_1 » Sat Feb 06, 2021 5:29 am

Hi Tom,

In the 2nd Edition Example 3.6 p.115 there's an example of a Bilinear Model. Can a Bilinear Model be applied to a non-stationary series? Do I have to check for non-linearity? I can generate one-step ahead rolling forecasts.

Code: Select all
forecast(model=bilinear,results=yhat_BL_y) * 1 ibegin+1+j

How do I generate multi-step-ahead rolling forecasts saving only the last forecast step as in FORECAST instruction SKIPSAVE? https://estima.com/ratshelp/index.html?forecastinstruction.html

many thanks,
Amarjit
ac_1
 
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Re: Bilinear Model: multi-step-ahead rolling forecasts

Unread postby ac_1 » Sun Feb 07, 2021 4:09 am

Is the one-step ahead equation correct?
Enders(2010) AETS 3rdEdn Chapter 7 has an example of a Bilinear model in the context of simple extensions of the ARMA model (detrended log U.S. unemployment rate), and various pre-tests for nonlinearity. Please can an example be provided of how to generate multi-step-ahead rolling forecasts for a Bilinear model, ideally and if theoretically possible for a non-stationary series.
ac_1
 
Posts: 155
Joined: Thu Apr 15, 2010 6:30 am
Location: London, UK


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