Forecasting with Difference-Stationary and Trend-Stationary Models
David Hendry () and
No 5, Economics Series Working Papers from University of Oxford, Department of Economics
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.
Keywords: difference stationary; trend stationary; forecastability (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.economics.ox.ac.uk/materials/working_papers/paper5.pdf [302 Redirect]--> https://www.economics.ox.ac.uk/materials/working_papers/paper5.pdf)
Journal Article: Forecasting with difference-stationary and trend-stationary models (2001)
Working Paper: FORECASTING WITH DIFFERENCE-STATIONARY AND TREND-STATIONARY MODELS (1998)
Working Paper: Forecasting with Difference-Stationary and Trend-Stationary Models (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:5
Access Statistics for this paper
More papers in Economics Series Working Papers from University of Oxford, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Anne Pouliquen ().