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 .
| 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 |
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