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

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.

Metadata

Item Type: Article
Creators:
Creators
Email / ID Num.
Lazim, Mohd Alias
UNSPECIFIED
Subjects: H Social Sciences > HB Economic Theory. Demography > Methodology > Mathematical economics. Quantitative methods
Divisions: Universiti Teknologi MARA, Shah Alam > Faculty of Computer and Mathematical Sciences
Journal or Publication Title: Jurnal Teknologi Maklumat dan Sains Kuantitatif
ISSN: 1823-0822
Volume: 1
Number: 1
Page Range: pp. 23-34
Keywords: Stationarity, differenced variables, unit root
Date: 1997
URI: https://ir.uitm.edu.my/id/eprint/11815
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