ISBN: 978-981-08-8407-9
Authors: Yip Chee Yin, Lim Hock Eam and Hong Pei Yee
Abstract:
This paper re-examines the risk of using pre-test estimators ADF, DF-GLS, DF-GLS coupled with KPSS and Mallows selection estimator in forecasting. It is found that DFGLS coupled with KPSS produced risk similar to that of Mallows model averaging (MMA) estimator in one-step-ahead forecasting, while ADF and DF-GLS are comparable to MMA only in longhorizon forecasting.
Keywords: Mallows selection estimator; forecasting; Mallows model averaging
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