Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1484783
Difference or not to difference an integrated time series? An empirical investigation
Chee-Yin Yip
; Faculty of Business and Finance, Universiti Tunku Abdul Rahman - Perak Campus, Kampar, Malaysia
Hock-Eam Lim
; School of Economics, Banking and Finance, Universiti Utara Malaysia College of Business, Sintok, Malaysia
Hongbo Duan
; College of Business, Hebei University, Baoding, China; dSchool of Business, Renmin University of China, Beijing, China
Sažetak
This paper uses the gross domestic product growth rates of Malaysia,
Thailand, Indonesia and China in an empirical examination to
determine whether an integrated time series should be differenced
before it is used for forecasting. The results reveal that Mallows model
combination (M.M.A.) of original and differenced series is a better
choice than just differencing the series only if the perturbation
instability measure is more than 1.25 for autoregressive (A.R.) model,
and 1.105 for moving average (M.A.) model and autoregressive
fractional integrated moving average (A.R.F.I.M.A.) model.
Furthermore, it is found that M.M.A. performs better in forecasting
with better model stability for the case of M.A. and A.R.F.I.M.A. than
A.R. However, M.M.A. is very sensitive in financial crisis.
Ključne riječi
Mallows model combination (MMA); predictive ability; model selection; perturbation instability measure; forecast strain
Hrčak ID:
206112
URI
Datum izdavanja:
3.12.2018.
Posjeta: 681 *