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Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition

Author

Listed:
  • Snyder, R.
  • Inder, B.

Abstract

The global linear trend with autocorrelated disturbances is a surprising omission from the M1 competition. This approach to forecasting is therefore evaluated using the 51 non-seasonal series from the competition. It is contrasted with a fully optimized version of Holts trend corrected exponential smoothing. It is found that an adaptation of Holts method, in which the growth rate is restricted to be constant, performs almost as well as its traditional counterpart and usually out-performs the global linear trend with autoregressive disturbances.

Suggested Citation

  • Snyder, R. & Inder, B., 1997. "Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition," Monash Econometrics and Business Statistics Working Papers 9/97, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:1997-9
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    More about this item

    Keywords

    ECONOMETRICS ; UNIT ROOTS ; MONEY;
    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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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