The aim of this paper is to evaluate the forecasting performance of SETAR models with an application to the Industrial Production Index (IPI) of four major European countries over a period which includes the last Great Recession. Both point and interval forecasts are considered at different horizons against those obtained from two linear models. We follow the approach suggested by Teräsvirta et al. (2005) according to which a dynamic specification may improve the forecast performance of the nonlinear models with respect to the linear models. We re‐specify the models every twelve months and we find that the advantages of this procedure are particularly evident in the forecast rounds immediately following the re‐specification.