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Efficient Forecasting in Nearly Non-stationary Processes

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  • Sanchez, Ismael

Abstract

This paper proposes a procedure to make efficient predictions in a nearly non-stationary process. The method is based on the adaptation of the theory of optimal combination of forecasts to nearly non-stationary processes. The proposed combination method is simple to apply and has a better performance than classical combination procedures. It also has better average performance than a differenced predictor, a fractional differenced predictor, or an optimal unit-root pretest predictor. In the case of a process that has a zero mean, only the non-differenced predictor is slightly better than the proposed combination method. In the general case of a non-zero mean, the proposed combination method has a better overall performance than all its competitors. Copyright © 2002 by John Wiley & Sons, Ltd.

Suggested Citation

  • Sanchez, Ismael, 2002. "Efficient Forecasting in Nearly Non-stationary Processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(1), pages 1-26, January.
    • Handle: RePEc:jof:jforec:v:21:y:2002:i:1:p:1-26
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