Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition

Ralph Snyder () and Brett Inder

No 9/97, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: The global linear trend with autocorrelated disturbances is a surprising omission from the M1 competition. This approach to forecasting is therefore evaluated using the 51 non-seasonal series from the competition. It is contrasted with a fully optimized version of Holts trend corrected exponential smoothing. It is found that an adaptation of Holts method, in which the growth rate is restricted to be constant, performs almost as well as its traditional counterpart and usually out-performs the global linear trend with autoregressive disturbances.

Keywords: ECONOMETRICS; UNIT ROOTS; MONEY (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Pages: 14 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:msh:ebswps:1997-9

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().