Ng, Serena; Vogelsang, Timothy J. - In: Econometrics Journal 5 (2002) 1, pp. 196-224
This paper studies the error in forecasting an autoregressive process with a deterministic component. We show that when the data are strongly serially correlated, forecasts based on a model that detrends the data using OLS before estimating the autoregressive parameters are much less precise...