Unit roots in the Nelson-Plosser data: Do they matter for forecasting?

Unit roots in the Nelson-Plosser data: Do they matter for forecasting?

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Article ID: iaor19961946
Country: Netherlands
Volume: 12
Issue: 2
Start Page Number: 283
End Page Number: 288
Publication Date: Apr 1996
Journal: International Journal of Forecasting
Authors: ,
Abstract:

In this paper tha authors compare two univariate time series models, i.e. one with and one without an imposed unit root, in a forecasting experiment for the fourteen annually observed US data analyzed by Nelson and Plosser. The present main result is that the unit root model is regularly preferred. This result holds for a variety of sample sizes and forecast horizons as well as for one-step and multi-step ahead forecasts.

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