On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It

This paper suggests a novel approach to pre-selection of the component series of the diffusion index based on their individual forecasting performance. It is shown that this targeted selection allows substantially improving the forecasting ability compared to the diffusion index models that are based on the largest available data set.

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Year of publication:	2006
Authors:	Siliverstovs, Boriss ; Kholodilin, Konstantin Arkadievich
Publisher:	Berlin : Deutsches Institut für Wirtschaftsforschung (DIW)
Subject:	Diffusion index ; forecasting ; optimal subset of data

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Series:	DIW Discussion Papers ; 598
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	514149612 [GVK] hdl:10419/18491 [Handle] RePEc:diw:diwwpp:dp598 [RePEc]
Classification:	C10 - Econometric and Statistical Methods: General. General ; E32 - Business Fluctuations; Cycles
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324237