Bilinear Model: multi-step-ahead rolling forecasts

[ac_1]

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? ... ction.html

many thanks,
Amarjit

[ac_1]

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.