Nonlinearity, nonstationarity, and spurious forecasts

DOI10.1016/J.JECONOM.2007.03.002zbMATH Open1418.62514OpenAlexW2037449179MaRDI QIDQ290934FDOQ290934

Authors: Vadim Marmer 

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.03.002

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zbMATH Keywords

forecastingmisspecified modelsnonlinear transformationsintegrated time seriesstock returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A Reality Check for Data Snooping
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Title not available (Why is that?)
• Nonlinear Regressions with Integrated Time Series
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Index models with integrated time series
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Nonstationary discrete choice
• Nonstationary discrete choice: a corrigendum and addendum
• Title not available (Why is that?)

Cited In (21)

• Covariance-based orthogonality tests for regressors with unknown persistence
• The Bierens test for certain nonstationary models
• Nonparametric, nonlinear, short-term forecasting: Theory and evidence for nonlinearities in the commodity markets
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• A specification test for nonlinear nonstationary models
• Dynamic misspecification in nonparametric cointegrating regression
• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Discrimination between nonstationary and nearly nonstationary processes, and its effect on forecasting
• Nonlinear cointegrating regression under weak identification
• Nonstationary nonlinear quantile regression
• Sample distribution function construction for non-stationary time series forecasting
• Nonparametric predictive regression
• Nonparametric specification testing for nonlinear time series with nonstationarity
• NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS
• Specification testing for nonlinear multivariate cointegrating regressions
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA
• `Time-series' versus `econometric' forecasts: a non-linear regression counterexample
• ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS
• If Nonlinear Models Cannot Forecast, What Use Are They?

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