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Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim

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 m...

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Main Author: Lazim, Mohd Alias
Format: Article
Language:English
Published: Faculty of Information Technology and Quantitative Sciences 1997
Subjects:
Mathematical economics. Quantitative methods
Online Access:http://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf
http://ir.uitm.edu.my/id/eprint/11815/
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spelling my.uitm.ir.118152016-09-08T04:20:42Z http://ir.uitm.edu.my/id/eprint/11815/ Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim Lazim, Mohd Alias Mathematical economics. Quantitative methods 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. Faculty of Information Technology and Quantitative Sciences 1997 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf 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
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Mathematical economics. Quantitative methods
spellingShingle Mathematical economics. Quantitative methods
Lazim, Mohd Alias
Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim
description 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.
format Article
author Lazim, Mohd Alias
author_facet Lazim, Mohd Alias
author_sort Lazim, Mohd Alias
title Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim
title_short Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim
title_full Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim
title_fullStr Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim
title_full_unstemmed Stationarity and non-stationarity : issues and implication in econometric forecasting modelling / Mohd Alias Lazim
title_sort stationarity and non-stationarity : issues and implication in econometric forecasting modelling / mohd alias lazim
publisher Faculty of Information Technology and Quantitative Sciences
publishDate 1997
url http://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf
http://ir.uitm.edu.my/id/eprint/11815/
_version_ 1685648323466231808
score 13.244745

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