TY  -  
T1  - Does Noncausality Help in Forecasting Economic Time Series? 
SN  -  /  
UR  - http://hdl.handle.net/10138/229523 
T3  -  
A1  - Lanne, Markku; Nyberg, Henri; Saarinen, Erkka 
A2  -  
PB  -  
Y1  - 2012 
LA  - eng 
AB  - 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.... 
VO  -  
IS  -  
SP  -  
OP  -  
KW  - 511 Economics 
N1  -   
PP  -  
ER  -