Assume that a time series is generated by an autoregression which has atmost one unit root. A correctly specified model, including linear time trend, is estimated by ordinary least squares, but no allowance is made for any unit root in the generating process. We investigate the impact of...

We report an exploratory analysis of an interesting and important type of forecast data set. As is common for macroeconomic variables, forecasts from a large panel are available for annual macroeconomic aggregates. Although only a few years of accumulated experience are at hand, the data set is...