Chao, John C.; Corradi, Valentina; Swanson, Norman R. - In: Annals of Economics and Finance 2 (2001) 1, pp. 59-76
We perform a series of Monte Carlo experiments in order to evaluate the impact of data transformation on forecasting models, and find that vector error-corrections dominate differenced data vector autoregressions when the correct data transformation is used, but not when data are incorrectly...
