Non-Stationarity, Forecast Performance and Fluctuations in Macroeconomic Series: Experience With United States Seasonal Data and Simulations

Forecast performance of the fitted models is investigated, and statistical comparisons made. These are related to the structures of the fitted models and to the outcomes of the unit root tests. If non-stationarity is present in the series then this framework also enables us to assess the value of the test in the conduct of a forecasting exercise. It is generally agreed that most economic time series contains substantial MA component in the DGP. Recent research shows that the power of the unit root test for annual data is significantly affected by such MA components. This thesis performs some simulation exercises using seasonal data to examine the properties of the unit root test under such situations.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Islam, Faridul

Contributors dc:contributor

• Newbold, Paul

• Economics, General

Language dc:language

eng

Identifier

(MiAaPQ)AAI9625145

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/85602