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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...

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Publication status:
Published
Peer review status:
Peer reviewed

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

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Institution:
University of Oxford
Role:
Author
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Funding agency for:
Hendry, D
Grant:
L116251015
Publisher:
Elsevier
Journal:
International Journal of Forecasting Journal website
Volume:
13
Issue:
3
Pages:
341 - 355
Publication date:
1997-09-01
DOI:
ISSN:
0169-2070
Language:
English
UUID:
uuid:874f8d95-e115-47f0-9f83-4bfae7242514
Local pid:
oai:economics.ouls.ox.ac.uk:10771
Deposit date:
2011-08-16

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