Browsing Department of Economics (ECO) by Subject "Forecasts comparisons"

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Browsing Department of Economics (ECO) by Subject "Forecasts comparisons"

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    Title: Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?  Author(s): PROIETTI, Tommaso; LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured ...