Forecasting with Difference-Stationary and Trend-Stationary Models.

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 paramete...

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Bibliografske podrobnosti
Main Authors: Hendry, D, Clements, M
Format: Working paper
Jezik:English
Izdano: Department of Economics (University of Oxford) 2000