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Weakly Universally Consistent Forecasting of Stationary and Ergodic Time Series

✍ Scribed by Jones, D.; Kohler, M.; Walk, H.

Book ID
114642933
Publisher
IEEE
Year
2012
Tongue
English
Weight
295 KB
Volume
58
Category
Article
ISSN
0018-9448

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## Abstract We analyse the forecasting attributes of trenc and diffence‐stationary representations of the U.S. macroeconomic time series sudied by Nelson and Plosser (1982). Predictive densities based on models estimated for these series (which terminate in 1970) are compared with subsequent realiz