Proietti, Tommaso; Lütkepohl, Helmut - In: International Journal of Forecasting 29 (2013) 1, pp. 88-99
The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box–Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating...