Does Noncausality Help in Forecasting Economic Time Series?
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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 organization: | Department of Political and Economic Studies (2010-2017) Economics Helsinki Center of Economic Research (HECER) 2010-2012 Financial and Macroeconometrics |
| 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 |
| Peer reviewed: | Yes |
| Usage restriction: | openAccess |
| Self-archived version: | publishedVersion |
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