Macroeconomic Modelling and Forecasting UsingNon-Stationa...
Important aspects of macroeconomic modelling andforecasting in the presence of non-stationarity areexamined in this book. Three forms ofnon-stationarity are assessed: explosive, structural-break, and unit root non-stationarity.First, testing for unit-root non-stationarity in thepresence of explosive non-stationarity is considered.Numerical difficulties are circumvented usingapproximations before the finite-sample properties ofthe unit-root test are assessed. Secondly the use ofmodel averaging given non-stationarity isinvestigated. While model ...