By Uzochukwu Emeka Calistus
Several authors have developed statistical procedures for testing whether
two models are similar. 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 proposition and a lemma were used to join the structure of the
predictability measure to the coefficients and sample autocorrelation of the
SETAR process. Illustrative examples are given to show how to conduct the
test which can help practitioners avoid mistakes in decision making