Forecasting an explosive time series

Suresh Chandra K & S. Prabhakaran
Forecasting is an important exercise in Time series analysis. For a statio-nary time series, there are theoretically strong forecasting methods which canprovide most accurate forecasts for the future (Karlin and Taylor (1975)).For most non stationary time series Box Jenkins methodology is a usefulforecasting technique. Essentially, the Box Jenkins methodology assumesthat any non stationarity time series can be conveniently modeled as anAutoregressive Intregrated Moving Averages (ARIMA) model with sucientnumber of unit roots in the linear stochastic...
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