Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim

Lazim, Mohd Alias (1997) Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim. Jurnal Teknologi Maklumat dan Sains Kuantitatif, 1 (1). pp. 23-34. ISSN 1823-0822

[img]
Preview
Text
AJ_MOHD ALIAS LAZIM TMSK 97.pdf

Download (597kB) | Preview

Abstract

Over the last decade the concept of stationarity has occupied the mind of many econometricians. This new understanding of time series data has led many to rethink the procedure of forecasting modelling on the evidence that models that seem to fit well are not necessarily well specified. Hence, in many new applied works, the forecasting performances of many econometric models have been shown to improve by taking into account the stationarity and non-stationarity characteristics of the variables involved. Amongst the many new developments in the econometric forecasting modelling are models being developed using differenced series. Hence, this paper seeks to explain the concept of stationarity and non-stationarity in economic time series data. The importance of giving due considerations to these properties when estimating econometric forecasting models is stressed and it is hoped that this discussion may act as a guide to economic forecasters. Also discussed is the method commonly used to test for non-stationarity.

Item Type: Article
Uncontrolled Keywords: Stationarity, differenced variables, unit root
Subjects: H Social Sciences > HB Economic Theory. Demography > Methodology > Mathematical economics. Quantitative methods
Divisions: Faculty of Information Technology and Quantitative Sciences
Depositing User: Staf Pendigitan 1
Date Deposited: 30 Apr 2015 03:43
Last Modified: 08 Sep 2016 04:20
URI: http://ir.uitm.edu.my/id/eprint/11815

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year