Data Transformation and Forecasting in Models with Unit Roots and |
John C. Chao |
Valentina Corradi |
and Norman R. Swanson |
We perform a series of Monte Carlo experiments in order to evaluate the impact of data
transformation on forecasting models, and find that vector |
Key Words: Integratedness; Cointegratedness; Nonlinear transformation. |
JEL Classification Numbers: C22, C51. |