Does Noncausality Help in Forecasting Economic Time Series?

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http://hdl.handle.net/10138/229523

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Lanne , M , Nyberg , H & Saarinen , E 2012 , ' Does Noncausality Help in Forecasting Economic Time Series? ' , Economics Bulletin , vol. 32 , no. 4 , pp. 2849-2859 .

Title: Does Noncausality Help in Forecasting Economic Time Series?
Author: Lanne, Markku; Nyberg, Henri; Saarinen, Erkka
Contributor: University of Helsinki, Department of Political and Economic Studies (2010-2017)
University of Helsinki, Department of Political and Economic Studies (2010-2017)
Date: 2012-10
Language: eng
Number of pages: 11
Belongs to series: Economics Bulletin
ISSN: 1545-2921
URI: http://hdl.handle.net/10138/229523
Abstract: In this paper, we compare the forecasting performance of univariate noncausal and conventional causal autoregressive models for a comprehensive data set consisting of 170 monthly U.S. macroeconomic and financial time series. The noncausal models consistently outperform the causal models. For a collection of quarterly time series, the improvement in forecast accuracy due to allowing for noncausality is found even greater.
Subject: 511 Economics
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