Forecasting performance of seasonal- dummy models relative to some alternatives
نویسنده
چکیده
Abeysinghe (Economic Letters, 1991, 36, 175-197; Journal of Econometrics, 1994, forthcoming) showed that seasonal dummies in regressions may lead to spurious inference. This paper evaluates the post-sample forecasting performance of a seasonal-dummy ARIMA model with four other models. The results, in general, do not stand in favor of the seasonal-dummy approach. JEL classification: C53
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