✦ LIBER ✦

Forecasting the business cycle without using minimum autocorrelation factors

✍ Scribed by Karl-Gustaf Löfgren; Bo Ranneby; Sara Sjöstedt

Publisher: John Wiley and Sons
Year: 1993
Tongue: English
Weight: 884 KB
Volume: 12
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980120603

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

We introduce a forecasting technique based on multivariate ideas previously applied in remote sensing. The approach has the trivial but nonetheless fundamental purpose of dividing the information inherent in the time series into important and unimportant. Important information is used for forecasting purposes while the unimportant is discarded. Although related to vector autoregression, giving asymptotically the same estimates, there are reasons to believe that the approach gives better precision of parameter estimates for finite samples as well as more precise predictions.

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