This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Unit Root Tests are Useful for Selecting Forecasting Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Francis X. Diebold
Lutz Kilian
Additional information is available for the following
registered author(s):
We study the usefulness of unit root tests as diagnostic tools for selecting forecasting models. Difference stationary and trend stationary models of economic and financial time series often imply very different predictions, so deciding which model to use is tremendously important for applied forecasters. We consider three strategies: always difference the data, never difference, or use a unit-root pretest. We characterize the predictive loss of these strategies for the canonical AR(1) process with trend, focusing on the effects of sample size, forecast horizon, and degree of persistence. We show that pretesting routinely improves forecast accuracy relative to forecasts from models in differences, and we give conditions under which pretesting is likely to improve forecast accuracy relative to forecasts from models in levels.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number
99-063.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: 18 Jan 1999Date of revision:
Handle: RePEc:fth:nystfi:99-063Contact details of provider: Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126 Web page: http://w4.stern.nyu.edu/finance/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).
Keywords: Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Lutz Kilian, 1998.
"Small-Sample Confidence Intervals For Impulse Response Functions ,"
The Review of Economics and Statistics ,
MIT Press, vol. 80(2), pages 218-230, May.
[Downloadable!] (restricted)
Christiano, Lawrence J. & Eichenbaum, Martin, 1990.
"Unit roots in real GNP: Do we know, and do we care? ,"
Carnegie-Rochester Conference Series on Public Policy ,
Elsevier, vol. 32, pages 7-61.
[Downloadable!] (restricted)
Other versions:
Lawrence J. Christiano & Martin Eichenbaum, 1989.
"Unit roots in real GNP: do we know, and do we care? ,"
Discussion Paper / Institute for Empirical Macroeconomics
18, Federal Reserve Bank of Minneapolis.
[Downloadable!] Lawrence J. Christiano & Martin Eichenbaum, 1990.
"Unit roots in real GNP: do we know, and do we care? ,"
Working Paper Series, Macroeconomic Issues
90-2, Federal Reserve Bank of Chicago.
Lawrence J. Christiano & Martin Eichenbaum, 1989.
"Unit Roots in Real GNP: Do We Know, and Do We Care? ,"
NBER Working Papers
3130, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Rudebusch, Glenn D, 1993.
"The Uncertain Unit Root in Real GNP ,"
American Economic Review ,
American Economic Association, vol. 83(1), pages 264-72, March.
[Downloadable!] (restricted)
Other versions: Ng, S. & Perron, P., 1994.
"Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag ,"
Cahiers de recherche
9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Other versions: John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots ,"
NBER Technical Working Papers
0100, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Eugene Canjels & Mark W. Watson, 1997.
"Estimating Deterministic Trends In The Presence Of Serially Correlated Errors ,"
The Review of Economics and Statistics ,
MIT Press, vol. 79(2), pages 184-200, May.
[Downloadable!] (restricted)
Zivot, Eric & Andrews, Donald W K, 1992.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 10(3), pages 251-70, July.
Other versions:
Eric Zivot & Donald W.K. Andrews, 1990.
"Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis ,"
Cowles Foundation Discussion Papers
944, Cowles Foundation, Yale University.
[Downloadable!] Zivot, Eric & Andrews, Donald W K, 2002.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 25-44, January.
Peter F. Christoffersen & Francis X. Diebold, 1997.
"Cointegration and Long-Horizon Forecasting ,"
NBER Technical Working Papers
0217, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Peter F. Christoffersen & Francis X. Diebold, 1997.
"Cointegration and Long-Horizon Forecasting ,"
IMF Working Papers
97/61, International Monetary Fund.
Peter F. Christoffersen & Francis X. Diebold, 1997.
"Cointegration and long-horizon forecasting ,"
Working Papers
97-14, Federal Reserve Bank of Philadelphia.
[Downloadable!] Christoffersen, Peter F & Diebold, Francis X, 1998.
"Cointegration and Long-Horizon Forecasting ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 16(4), pages 450-58, October.
Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root ,"
Econometrica ,
Econometric Society, vol. 64(4), pages 813-36, July.
[Downloadable!] (restricted)
Other versions: Leybourne, S J & McCabe, B P M, 1994.
"A Consistent Test for a Unit Root ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 12(2), pages 157-66, April.
Stock, James H., 1986.
"Unit roots, structural breaks and trends ,"
Handbook of Econometrics ,
in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 46, pages 2739-2841
Elsevier.
[Downloadable!] (restricted)
Diebold, Francis X & Senhadji, Abdelhak S, 1996.
"The Uncertain Unit Root in Real GNP: Comment ,"
American Economic Review ,
American Economic Association, vol. 86(5), pages 1291-98, December.
[Downloadable!] (restricted)
Franses, Philip Hans & Kleibergen, Frank, 1996.
"Unit roots in the Nelson-Plosser data: Do they matter for forecasting? ,"
International Journal of Forecasting ,
Elsevier, vol. 12(2), pages 283-288, June.
[Downloadable!] (restricted)
Andrews, Donald W K & Chen, Hong-Yuan, 1994.
"Approximately Median-Unbiased Estimation of Autoregressive Models ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 12(2), pages 187-204, April.
Mehmet Caner & Lutz Kilian, 1999.
"Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work ,"
Computing in Economics and Finance 1999
511, Society for Computational Economics.
[Downloadable!]
Stock, James H, 1996.
"VAR, Error Correction and Pretest Forecasts at Long Horizons ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 58(4), pages 685-701, November.
James H. Stock & Mark W. Watson, 1998.
"A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series ,"
NBER Working Papers
6607, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.) This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page .
Access and
download statistics Did you know? There are over 16000 authors registered on RePEc Author Service .
This page was last updated on 2008-7-29.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .