An empirical study of seasonal unit roots in forecasting
UNSPECIFIED (1997) An empirical study of seasonal unit roots in forecasting. INTERNATIONAL JOURNAL OF FORECASTING, 13 (3). pp. 341-355. ISSN 0169-2070Full text not available from this repository.
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 improved forecast accuracy. The analysis is illustrated with two empirical examples where more accurate forecasts are obtained by imposing more roots than is warranted by HEGY. The issue of assessing forecast accuracy when predictions of any one of a number of linear transformations may be of interest is also addressed. (C) 1997 Elsevier Science B.V.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HC Economic History and Conditions
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
|Journal or Publication Title:||INTERNATIONAL JOURNAL OF FORECASTING|
|Publisher:||ELSEVIER SCIENCE BV|
|Number of Pages:||15|
|Page Range:||pp. 341-355|
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