Working paper icon

Working paper

Forecasting with Difference-Stationary and Trend-Stationary Models.

Abstract:

Although difference-stationary (DS) and trend-stationary (TS) processes have been subject to considerable analysis, there are no direct comparisons for each being the data-generation process (DGP). We examine incorrect choice between these models for forecasting for both known and estimated parameters. Three sets of Monte Carlo simulations illustrate the analysis, to evaluate the biases in conventional standard errors when each model is mis-specified, compute the relative mean-square forecast...

Expand abstract

Actions


Authors


David Hendry More by this author
Michael P Clements More by this author
Volume:
005
Series:
Discussion paper series
Publication date:
2000
URN:
uuid:6cce8a26-0990-4418-b1ed-583c71ae7c97
Local pid:
ora:1041
Language:
English

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP