Franses, P.H. and Kleibergen, F. (1996). Unit roots in the Nelson-Plosser data: Do they matter for forecasting? International Journal of Forecasting, 12(2):283--288.
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Affiliated authors
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Publication year1996
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JournalInternational Journal of Forecasting
In this paper we compare two univariate time series models, i.e. one with and one without an imposed unit root, in a forecasting experiment for the fourteen annually observed US data analyzed by Nelson and Plosser (1982, Journal of Monetary Economics 10, 139-162). Our main result is that the unit root model is regularly preferred. This result holds for a variety of sample sizes and forecast horizons as well as for one-step and multi-step ahead forecasts.