Determining the MSE-optimal cross section to forecast |
| |
Authors: | Ignacio Arbué s |
| |
Affiliation: | D.G. de Metodología, Calidad y Tecnologías de la Información y las Comunicaciones, Instituto Nacional de Estadística, Castellana, 183. 28071, Madrid, Spain |
| |
Abstract: | In this paper, we address the question of which subset of time series should be selected among a given set in order to forecast another series. We evaluate the quality of the forecasts in terms of Mean Squared Error. We propose a family of criteria to estimate the optimal subset. Consistency results are proved, both in the weak (in probability) and strong (almost sure) sense. We present the results of a Monte Carlo experiment and a real data example in which the criteria are compared to some hypothesis tests such as the ones by Diebold and Mariano (1995), and and Giacomini and White (2006). |
| |
Keywords: | C32 C52 C53 |
本文献已被 ScienceDirect 等数据库收录! |
|