On Equal Predictive Ability and Parallelism of Self-Exciting Threshold Autoregressive Model

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Published: 2025-11-25
Keywords:
SETAR process, ARIMA, Self-exciting threshold autoregressive model, Non-linear time series

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F. I. Ugwuowo
Department of Statistics University of Nigeria, Nsukka , Enugu State, Nigeria
E. C. Uzochukwu
Department of Statistics University of Nigeria, Nsukka , Enugu State, Nigeria
T. E. Ugah
Department of Statistics University of Nigeria, Nsukka , Enugu State, Nigeria

Abstract

Several authors have developed statistical procedures for testing whether two models are equivalent. In this work, we not only present the notion of equivalence but also extend this to a measure of predictive ability of a time series following a stationary self-exciting threshold autoregressive (SETAR) process. A test is developed for equal predictive ability and a proposition and lemma given and proved. Illustrative examples are given to show how to conduct the test which can help the practitioner to avoid incorrect assessment of the accuracy of a forecast.

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Vol. 7 No. 1 (2024)

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Articles
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This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

How to Cite

Ugwuowo, F., Uzochukwu, E., & Ugah, T. (2025). On Equal Predictive Ability and Parallelism of Self-Exciting Threshold Autoregressive Model. Benin Journal of Statistics, 7(1), 1– 16. https://bjs-uniben.org/index.php/home/article/view/43

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