On the Importance of the Arrival of New Information

This paper develops a framework for evaluating the importance of the arrival of new information for forecasting, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides guidelines for detecting outliers, influential observations, innovations, and possible breaks in the end of the sample. The methodology is applied to analyze the Chilean CPI inflation.

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Authors:	Chumacero, Rómulo
Published in:	Estudios de Economia. - Departamento de Economía. - Vol. 37, 2 Year 2010, p. 207-215
Publisher:	Departamento de Economía
Subject:	News \| Innovation \| Outlier \| Influential Analysis

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Extent:	application/pdf
Type of publication:	Article
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010614928