Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim
Over the last decade the concept of stationarity has occupied the mind of many econometricians. This new understanding of time series data has led many to rethink the procedure of forecasting modelling on the evidence that models that seem to fit well are not necessarily well specified. Hence, in m...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Faculty of Information Technology and Quantitative Sciences
1997
|
| Subjects: | |
| Online Access: | https://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf |
| _version_ | 1825733974315499520 |
|---|---|
| author | Lazim, Mohd Alias |
| author_facet | Lazim, Mohd Alias |
| author_sort | Lazim, Mohd Alias |
| collection | UITM |
| description | Over the last decade the concept of stationarity has occupied the mind of many econometricians. This new understanding of time series data has led many to rethink the procedure of forecasting modelling on the evidence that models that seem to fit well are not necessarily well
specified. Hence, in many new applied works, the forecasting
performances of many econometric models have been shown to improve by taking into account the stationarity and non-stationarity characteristics of the variables involved. Amongst the many new developments in the econometric forecasting modelling are models being developed using differenced series. Hence, this paper seeks to explain the concept of stationarity and non-stationarity in economic
time series data. The importance of giving due considerations to these properties when estimating econometric forecasting models is stressed and it is hoped that this discussion may act as a guide to economic
forecasters. Also discussed is the method commonly used to test for non-stationarity. |
| first_indexed | 2024-03-06T01:24:55Z |
| format | Article |
| id | oai:ir.uitm.edu.my:11815 |
| institution | Universiti Teknologi MARA |
| language | English |
| last_indexed | 2024-03-06T01:24:55Z |
| publishDate | 1997 |
| publisher | Faculty of Information Technology and Quantitative Sciences |
| record_format | dspace |
| spelling | oai:ir.uitm.edu.my:118152016-09-08T04:20:42Z https://ir.uitm.edu.my/id/eprint/11815/ Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim Lazim, Mohd Alias Mathematical economics. Quantitative methods Over the last decade the concept of stationarity has occupied the mind of many econometricians. This new understanding of time series data has led many to rethink the procedure of forecasting modelling on the evidence that models that seem to fit well are not necessarily well specified. Hence, in many new applied works, the forecasting performances of many econometric models have been shown to improve by taking into account the stationarity and non-stationarity characteristics of the variables involved. Amongst the many new developments in the econometric forecasting modelling are models being developed using differenced series. Hence, this paper seeks to explain the concept of stationarity and non-stationarity in economic time series data. The importance of giving due considerations to these properties when estimating econometric forecasting models is stressed and it is hoped that this discussion may act as a guide to economic forecasters. Also discussed is the method commonly used to test for non-stationarity. Faculty of Information Technology and Quantitative Sciences 1997 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim. (1997) Jurnal Teknologi Maklumat dan Sains Kuantitatif <https://ir.uitm.edu.my/view/publication/Jurnal_Teknologi_Maklumat_dan_Sains_Kuantitatif/>, 1 (1). pp. 23-34. ISSN 1823-0822 |
| spellingShingle | Mathematical economics. Quantitative methods Lazim, Mohd Alias Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim |
| title | Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim |
| title_full | Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim |
| title_fullStr | Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim |
| title_full_unstemmed | Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim |
| title_short | Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim |
| title_sort | stationarity and non stationarity issues and implication in econometric forecasting modelling mohd alias lazim |
| topic | Mathematical economics. Quantitative methods |
| url | https://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf |
| work_keys_str_mv | AT lazimmohdalias stationarityandnonstationarityissuesandimplicationineconometricforecastingmodellingmohdaliaslazim |