Multi-step forecasts from threshold ARMA models using asymmetric loss functions

The forecasts generation from nonlinear time series models is investigated under general loss functions. After presenting the main results and some relevant features of these functions, the Linex loss has been used to generate multi-step forecasts from threshold autoregressive moving average models showing their main properties and some results connected to a proper transformation of the forecast errors. A simulation exercise highlights interesting properties of the proposed predictors, both in terms of their bias and their distribution, further clarifying how the Linex predictor can be helpful in empirical applications.