Non-Stationarity, Forecast Performance and Fluctuations in Macroeconomic Series: Experience With United States Seasonal Data and Simulations
Islam, Faridul
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https://hdl.handle.net/2142/85602
Description
Title
Non-Stationarity, Forecast Performance and Fluctuations in Macroeconomic Series: Experience With United States Seasonal Data and Simulations
Author(s)
Islam, Faridul
Issue Date
1996
Doctoral Committee Chair(s)
Newbold, Paul
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, General
Language
eng
Abstract
Forecast performance of the fitted models is investigated, and statistical comparisons made. These are related to the structures of the fitted models and to the outcomes of the unit root tests. If non-stationarity is present in the series then this framework also enables us to assess the value of the test in the conduct of a forecasting exercise. It is generally agreed that most economic time series contains substantial MA component in the DGP. Recent research shows that the power of the unit root test for annual data is significantly affected by such MA components. This thesis performs some simulation exercises using seasonal data to examine the properties of the unit root test under such situations.
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