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 Data. As most macroeoconomic time series are very persistent and may contain unit roots, a proper handling of unit roots and cointegration is of paramount importance for...
