Smeekes, Stephan; Wijler, Etienne - In: Macroeconomic forecasting in the era of big data : …, (pp. 541-584). 2020
In this chapter we investigate how the possible presence of unit roots and cointegration affects forecasting with Big … and cointegration is of paramount importance for macroeconomic forecasting. The high-dimensional nature of Big Data … complicates the analysis of unit roots and cointegration in two ways. First, transformations to stationarity require performing …
