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/ http://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf

id	uitm-11815
recordtype	eprints
spelling	uitm-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
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
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/ http://ir.uitm.edu.my/id/eprint/11815/1/AJ_MOHD%20ALIAS%20LAZIM%20TMSK%2097.pdf
first_indexed	2023-09-18T22:48:35Z
last_indexed	2023-09-18T22:48:35Z
_version_	1777417391335014400

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

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