Journal article
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 errors of the two models for both DGPs, and investigate autocorrelated errors, so both models can better approximate the converse GDP. The outcomes are surprisingly different from established results.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 2.5MB, Terms of use)
-
- Publisher copy:
- 10.1111/1368-423X.00050
Authors
- Publisher:
- Blackwell Publishers Ltd
- Journal:
- Econometrics Journal More from this journal
- Volume:
- 4
- Issue:
- 1
- Pages:
- 1 - 19
- Publication date:
- 2001-01-01
- DOI:
- ISSN:
-
1368-4221
- Language:
-
English
- UUID:
-
uuid:e7375c60-c9e6-4ad9-b528-1c388a70eaf3
- Local pid:
-
oai:economics.ouls.ox.ac.uk:12939
- Deposit date:
-
2011-08-16
- ARK identifier:
Terms of use
- Copyright holder:
- Royal Economic Society
- Copyright date:
- 2001
- Notes:
- © Royal Economic Society 2001. Published by Blackwell Publishers Ltd, 108 Cowley Road, Oxford OX4 1JF, UK and 350 Main Street, Malden, MA, 02148, USA. The definitive version is available at wileyonlinelibrary.com.
If you are the owner of this record, you can report an update to it here: Report update to this record