Journal article icon

Journal article

An Empirical Study of Seasonal Unit Roots in Forecasting.

Abstract:

We assess the usefulness of pre-testing for seasonal roots, based on the HEGY approach, for out-of-sample forecasting. It is shown that if there are shifts in the deterministic seasonal components then the imposition of unit roots can partially robustify sequences of rolling forecasts, yielding improved forecast accuracy. The analysis is illustrated with two empirical examples where more accurate forecasts are obtained by imposing more roots than is warranted by HEGY. The issue of assessing f...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

Actions


Access Document


Files:
Publisher copy:
10.1016/S0169-2070(97)00022-8

Authors


More by this author
Institution:
University of Oxford
Role:
Author
Publisher:
Elsevier Science B.V.
Journal:
International Journal of Forecasting Journal website
Volume:
13
Issue:
3
Publication date:
1997-09-06
DOI:
URN:
uuid:874f8d95-e115-47f0-9f83-4bfae7242514
Local pid:
oai:economics.ouls.ox.ac.uk:10771
Language:
English

Terms of use


Metrics


Views and Downloads






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

TO TOP