Predictability in time series
โ Scribed by Liming W. Salvino; Robert Cawley; Celso Grebogi; James A. Yorke
- Book ID
- 107987272
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 597 KB
- Volume
- 209
- Category
- Article
- ISSN
- 0375-9601
No coin nor oath required. For personal study only.
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A predictability index was deยฎned as the ratio of the variance of the optimal prediction to the variance of the original time series by Granger and Anderson (1976) andBhansali (1989). A new simpliยฎed algorithm for estimating the predictability index is introduced and the new estimator is shown to be
## Abstract The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecast