On the Interactions of Unit Roots and Exogeneity. by Hendry, D

“…The paper considers the impact on estimation and inference of interactions between the existence of unit roots in a data generation process and the presence or absence of weak and strong exogeneity of conditioning variables for the parameters of interest in individual cointegrated linear relationships. …”

On the Interactions of Unit Roots and Exogeneity. by Hendry, D

“…The paper considers the impact on estimation and inference of interactions between the existence of unit roots in a data generation process and the presence or absence of weak and strong exogeneity of conditioning variables for the parameters of interest in individual cointegrated linear relationships. …”

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. …”

A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots. by Hendry, D, Neale, A

Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing. by Spanos, A, Hendry, D, Reade, J

“…The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between linear and log--linear unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its empirical size and power are investigated using Monte Carlo simulations. …”

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. …”

Cointegration Tests in the Presence of Structural Breaks. by Campos, J, Ericsson, N, Hendry, D

“…Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the cointegrating relationship is stationary with a structural break. …”

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. …”

Explaining Cointegration Analysis: Part 1. by Hendry, D, Juselius, K

“…We then describe how to test for unit roots and cointegration. Monte Carlo simulations and empirical examples illustrate the analysis.…”