Forecasting Levels in Loglinear Unit Root Models
نویسندگان
چکیده
This article considers unbiased prediction of levels when data series are modeled as a random walk with drift and other exogenous factors after taking natural logs. We derive the unique predictors for growth its variance. Derivation level forecasts is more involved because last observation enters conditional expectation highly correlated parameter estimates, even asymptotically. leads to conceptual questions regarding conditioning on endogenous variables. prove that no conditionally forecast exists. unconditionally take into account estimation uncertainty, non linearity transformations, correlation between estimate, which quantitatively important than uncertainty future disturbances together. The exact shown have lower Mean Squared Forecast Error (MSFE) usual forecasts. results applied Bitcoin price disaggregated eight sector model UK industrial production.
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2023
ISSN: ['1532-4168', '0747-4938']
DOI: https://doi.org/10.1080/07474938.2023.2224175