UNIT ROOTS IN THE NELSON-PLOSSER DATA - DO THEY MATTER FOR FORECASTING

Authors
FRANSES PH KLEIBERGEN F
Citation
Ph. Franses et F. Kleibergen, UNIT ROOTS IN THE NELSON-PLOSSER DATA - DO THEY MATTER FOR FORECASTING, International journal of forecasting, 12(2), 1996, pp. 283-288
Citations number
11
Categorie Soggetti
Management,"Planning & Development
Journal title
International journal of forecasting → ACNP
ISSN journal
01692070
Volume
12
Issue
2
Year of publication
1996
Pages
283 - 288
Database
ISI
SICI code
0169-2070(1996)12:2<283:URITND>2.0.ZU;2-3
Abstract
In this paper we compare two univariate time series models, i.e. one w ith and one without an imposed unit root, in a forecasting experiment for the fourteen annually observed US data analyzed by Nelson and Plos ser (1982, Journal of Monetary Economics 10, 138-162). Our main result is that the unit root mode! is regularly preferred. This result holds for a variety of sample sizes and forecast horizons as well as for on e-step and multi-step ahead forecasts.