Mean Shifts, Unit Roots and Forecasting Seasonal Time Series
A1.89 WP 9609/A
Posted: 14 Jan 1998
Date Written: 1996
Changing seasonal patterns in economic time series can be described by auregressive models with seasonal unit roots or with deterministic sesaonal mean shifts.By means of simulation we demonstrate the impact of imposing the incorrect model on forecasting. We find for both cases that an inappropriate decision can deteriorate forecasting performance dramatically.
JEL Classification: C20; C22
Suggested Citation: Suggested Citation