Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out‐of‐Sample Evidence
全面比较了线性和非线性模型对英国股票和债券回报的递归预测表现，发现马尔可夫转换模型显著优于其他模型，且结果对样本期和损失函数选择稳健。
Abstract We perform a comprehensive examination of the recursive, comparative predictive performance of linear and nonlinear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR) and smooth transition autoregressive (STR) regime switching models and a range of linear specifications including models with GARCH type specifications. Results demonstrate UK asset returns require nonlinear dynamics to be modelled with strong evidence in favour of Markov switching frameworks. Our results appear robust to the choice of sample period, changes in loss functions and to the methodology employed to test for equal predictive accuracy. The key findings extend to a similar sample of US data.