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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 misspecified, compute the relative mean-square forecast ...

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Authors


Michael P Clements More by this author
David F Hendry More by this author
Volume:
516
Series:
The Warwick Economics Research Paper Series (TWERPS)
Publication date:
1998
URN:
uuid:8bdbecfe-095e-4279-849f-8e05ce25a14f
Local pid:
oai:economics.ouls.ox.ac.uk:10452
Language:
English

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