| Article ID: | iaor200969450 |
| Country: | United Kingdom |
| Volume: | 28 |
| Issue: | 3 |
| Start Page Number: | 183 |
| End Page Number: | 193 |
| Publication Date: | Apr 2009 |
| Journal: | Journal of Forecasting |
| Authors: | Feng Hui |
| Keywords: | time series & forecasting methods |
In this paper we investigate the impact of data revisions on forecasting and model selection procedures. A linear ARMA model and nonlinear SETAR model are considered in this study. Two Canadian macroeconomic time series have been analyzed: the real-time monetary aggregate M3 (1977-2000) and residential mortgage credit (1975-1998). The forecasting method we use is multi-step-ahead non-adaptive forecasting.