An Empirical Study of Seasonal Unit Roots in Forecasting. by Clements, M, Hendry, D

“…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 improved forecast accuracy. …”

Multi-step estimation for forecasting by Clements, M, Hendry, D

“…In a Monte Carlo forecasting study for integrated processes, estimating a unit root in the presence of a neglected negative moving-average error may favor dynamic estimation, though other solutions exist to that scenario. …”

Multi-Step Estimation for Forecasting. by Clements, M, Hendry, D

“…In a Monte Carlo forecasting study for integrated processes, estimating a unit root in the presence of a neglected negative moving-average error may favour DR, though other solutions exist to that scenario. …”

Multi-step Estimation for Forecasting. by Clements, M, Hendry, D

“…In a Monte Carlo forecasting study for integrated processes, estimating a unit root in the presence of a neglected negative moving-average error may favor dynamic estimation, though other solutions exist to that scenario. …”

Forecasting in Cointegration Systems. by Clements, M, Hendry, D

“…We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems of I(1) variables in levels, differences, and cointegrated combinations. …”