Experience with using the Box-Cox transformation when forecasting economic time series
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- Proietti, Tommaso & Lütkepohl, Helmut, 2013.
"Does the Box–Cox transformation help in forecasting macroeconomic time series?,"
International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.
- Tommaso Proietti & Helmut Luetkepohl, 2011. "Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?," Economics Working Papers ECO2011/29, European University Institute.
- Lütkepohl, Helmut & Proietti, Tommaso, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers 08/2011, University of Sydney Business School, Discipline of Business Analytics.
- Tommaso, Proietti & Helmut, Luetkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper 32294, University Library of Munich, Germany.
- Stephen J. Taylor & Brian G. Kingsman, 1979. "An Analysis of the Variance and Distribution of Commodity Price Changes," Australian Journal of Management, Australian School of Business, vol. 4(2), pages 135-149, October.
- Moneta, Alessio & Pallante, Gianluca, 2022.
"Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study,"
Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Alessio Moneta & Gianluca Pallante, 2020. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," LEM Papers Series 2020/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Alexandros E. Milionis & Nikolaos G. Galanopoulos, 2018. "Time series with interdependent level and second moment: statistical testing and applications with Greek external trade and simulated data," Working Papers 246, Bank of Greece.
- Beaumont, Adrian N., 2014. "Data transforms with exponential smoothing methods of forecasting," International Journal of Forecasting, Elsevier, vol. 30(4), pages 918-927.
- Taylor, Nick, 2017. "Realised variance forecasting under Box-Cox transformations," International Journal of Forecasting, Elsevier, vol. 33(4), pages 770-785.
- Alexandros E. Milionis & Nikolaos G. Galanopoulos, 2020. "A study of the effect of data transformation and «linearization» on time series forecasts. A practical approach," Working Papers 280, Bank of Greece.
- Alexandros E. Milionis & Nikolaos G. Galanopoulos & Peter Hatzopoulos & Aliki Sagianou, 2022. "Forecasting actuarial time series: a practical study of the effect of statistical pre-adjustments," Working Papers 297, Bank of Greece.
- Mahmood, Talat, 1990. "Die Dynamik der Rentabilität als stochastischer Prozess: eine empirische Zeitreihenanalyse von ausgewählten deutschen und amerikanischen Unternehmen. Vom Fachbereich 20 Informatik der Technischen Univ," EconStor Books, ZBW - Leibniz Information Centre for Economics, number 112236.
- Alexandros E. Milionis, 2003. "Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach," Working Papers 07, Bank of Greece.
- Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
- Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
- Sarkar, Nityananda, 2000. "Arch model with Box-Cox transformed dependent variable," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 365-374, December.
- Andy Kwan & Ah-Boon Sim & Yangru Wu, 2005. "On the size and power of normalized autocorrelation coefficients," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 1-11.
- Heuts, R.M.J., 1982. "The use of non-linear transformations in ARIMA-models when the data are non-Gaussian distributed," Other publications TiSEM f4ccef9b-24f6-4179-883c-9, Tilburg University, School of Economics and Management.
- Georgios Tsiotas, 2020. "On the use of power transformations in CAViaR models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 296-312, March.
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