IDEAS home Printed from https://ideas.repec.org/p/wrk/warwec/516.html
   My bibliography  Save this paper

Forecasting with Difference-Stationary and Trend-Stationary Models

Author

Listed:
  • Clements, M.P.
  • Hendry, D.P.

Abstract

The behavior of difference-stationary and trend-stationary processes has been the subject of considerable analysis in the literature. Nevertheless, there do not seem to be any direct comparisons of properties of each for both being potential data-generation processes. We look at the consequences of incorrect choice between these models for forecasting when parameters are known, and when parameters have to be estimated. The outcomes are surprisingly different from established results.

Suggested Citation

  • Clements, M.P. & Hendry, D.P., 1998. "Forecasting with Difference-Stationary and Trend-Stationary Models," The Warwick Economics Research Paper Series (TWERPS) 516, University of Warwick, Department of Economics.
    • Handle: RePEc:wrk:warwec:516
    as

    Download full text from publisher

    File URL: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/1995-1998/twerp516.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    TIME SERIES ; STATISTICAL ANALYSIS ; ECONOMETRICS;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wrk:warwec:516. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Margaret Nash (email available below). General contact details of provider: https://edirc.repec.org/data/dewaruk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.