An Empirical Study of Seasonal Unit Roots in Forecasting.
We assess the usefulness of pre-testing for seasonal roots, based on the HEGY approach, for out-of-sample forecasting. It is shown that if there are shifts in the deterministic seasonal components then the imposition of unit roots can partially robustify sequences of rolling forecasts, yielding impr...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
1997
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