Nonlinearity, nonstationarity, and spurious forecasts

DOI10.1016/J.JECONOM.2007.03.002MaRDI QIDQ290934zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3852286 (Why is no real title available?)
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• A Reality Check for Data Snooping
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Index models with integrated time series
• Nonlinear Regressions with Integrated Time Series
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Nonstationary discrete choice
• Nonstationary discrete choice: a corrigendum and addendum
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• 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?

Cited in

(21)

• Nonparametric cointegrating regression with NNH errors
• 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
• A specification test for nonlinear nonstationary models
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• 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
• Robust estimation and inference for threshold models with integrated regressors
• Nonparametric specification testing for nonlinear time series with nonstationarity
• 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
• If Nonlinear Models Cannot Forecast, What Use Are They?

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