Forecasting with Difference-Stationary and Trend-Stationary Models

Michael Peter Clements and David F. Hendry ()

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: The behavior of difference-stationary and trend-stationary processes has been the subject of considerable analysis in the literature. Nevertheless, there do not seem to be any direct comparisons of properties of each for both being potential data-generation processes. We look at the consequences of incorrect choice between these models for forecasting when parameters are known, and when parameters have to be estimated. The outcomes are surprisingly different from established results.

Keywords: TIME SERIES; STATISTICAL ANALYSIS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 1998

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Related works:
Working Paper: Forecasting with Difference-Stationary and Trend-Stationary Models (2000)
Journal Article: Forecasting with difference-stationary and trend-stationary models (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:wrk:warwec:516

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