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2002 | 5 | 103--113
Tytuł artykułu

The Usefulness of Unit Root Tests in Selecting a Forecast Model

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Języki publikacji
The aim of this paper is to show the usefulness of most frequently applied unit root test, i.e. augmented Dickey-Fuller test (ADF) or Said-Dickey test in selecting TS and DS model for forecasting purposes, especially in the cases when unit root processes and trend stationary processes are near observationally equivalent. The attention will focus on unit root processes in their autoregressive structure, therefore, in the second part of this paper the notion of unit root process which is near stationary (or near trend stationary) and the consequences of near equivalence for testing will be presented. In the third part the results of a simulation experiment which investigated the usefulness of ADF test in selecting the DS or TS model for forecasting will be depicted.(fragment of text)
Opis fizyczny
  • Nicolaus Copernicus University in Toruń, Poland
  • Introduction Blough, S. R. (1992), The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples, Journal of Applied Econometrics, vol. 7, pp. 295-308.
  • Box, Jenkins (1983), Analiza szeregów czasowych. Prognozowanie i sterowanie (Time Series Analysis. Forecasting and Control, PWN, Warszawa.
  • Campbell, J. Y., Perron, P. (1991), Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots, National Bureau of Economic Research, Technical Working Papers 100.
  • Christiano, L. J., Eichenbaum, M. (1989), Unit Roots in Real GNP: Do We Know, and Do We Care, National Bureau of Economic Research, Working Paper 3130.
  • Cochrane, J. H. (1988), How Big is the Random Walk in GNP?, Journal of Political Economy, 96, pp. 893-920.
  • Cochrane, J. H. (1991), A Critique of the Application of Unit Root Tests, Journal of Economic Dynamics and Control, 15, pp. 275-284.
  • Diebold, F.X., Kilian, L. (1999), Unit Root Tests are Useful for Selecting Forecasting Models, Working Paper 6928, National Bureau of Economic Research.
  • Diebold, F.X., Senhadji, A.S. (1996), Deterministic vs. Stochastic Trend in U.S GNP, yet again, Working Paper 5481, National Bureau of Economic Research.
  • Faust, J. (1993), Near Observational Equivalence and Unit Root Processes: Formal Concepts and Implications, Board of Governors of The Federal Reserve System, International Finance Discussion Papers, 447.
  • Rudebusch, G.D. (1983), The Uncertain Unit Root in Real GNP, American Economic Review, 83, pp. 264-271.
  • Rudebusch, G.D. (1992), Trends and Random Walks in Macroeconomic Time Series: A Re-Examination, International Economic Review, vol. 33, no. 3.
  • Stock, J. H., Watson, M. W. (1988), Variable Trends in Economic Time Series, Journal of Economic Perspectives, 2, pp. 147-174.
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