Does Noncausality Help in Forecasting Economic Time Series?

Visa fullständig post



Permalänk

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

Citation

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

Titel: Does Noncausality Help in Forecasting Economic Time Series?
Författare: Lanne, Markku; Nyberg, Henri; Saarinen, Erkka
Upphovmannens organisation: Department of Political and Economic Studies (2010-2017)
Economics
Helsinki Center of Economic Research (HECER) 2010-2012
Financial and Macroeconometrics
Datum: 2012-10
Språk: eng
Sidantal: 11
Tillhör serie: Economics Bulletin
ISSN: 1545-2921
Permanenta länken (URI): http://hdl.handle.net/10138/229523
Abstrakt: 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
Referentgranskad: Ja
Användningsbegränsning: openAccess
Parallelpublicerad version: publishedVersion


Filer under denna titel

Totalt antal nerladdningar: Laddar...

Filer Storlek Format Granska
EB2012.pdf 152.8Kb PDF Granska/Öppna

Detta dokument registreras i samling:

Visa fullständig post