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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 mis-specified, compute the relative mean-square forecast...

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

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Publisher copy:
10.1111/1368-423X.00050

Authors


Michael P Clements More by this author
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Institution:
University of Oxford
Publisher:
Blackwell Publishers Ltd
Journal:
Econometrics Journal Journal website
Volume:
4
Issue:
1
Publication date:
2001
DOI:
URN:
uuid:e7375c60-c9e6-4ad9-b528-1c388a70eaf3
Local pid:
oai:economics.ouls.ox.ac.uk:12939
Language:
English

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