Cover Image

Predictive Consequences of Using Conditioning or Causal Variables

Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.
Year of publication:
1987
Authors: Granger, C.W.J. ; Thomson, P. J.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 3.1987, 01, p. 150-152
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005104614
Similar items by person