Price Forecasting With Time-Series Methods And Nonstationary Data: An Application To Monthly U.S. Cattle Prices
The forecasting performance of various multivariate as well as univariate ARIMA models is evaluated in the presence of nonstationarity. The results indicate the importance of identifying the characteristics of the time series by testing for types of nonstationarity. Procedures that permit model specifications consistent with the systemÂ’s dynamics provide the most accurate forecasts.
Volume (Year): 15 (1990)
Issue (Month): 01 (July)
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- Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
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