Quotation Ledolter, Johannes. 2007. Increase in Mean Square Forecast Error when Omitting a Needed Covariate. International Journal of Forecasting 23 147-152.


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Abstract

Mean square errors of ex-post and ex-ante forecasts from transfer function (regression) models are compared with mean square forecast errors of univariate time series models that ignore the covariate. We show that forecasts from the univariate ARMA models are never better, and are usually worse, than the forecasts from the transfer function model.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Journal of Forecasting
Citation Index SSCI
WU-Journal-Rating new STRAT-C, VW-C, WH-B
Language English
Title Increase in Mean Square Forecast Error when Omitting a Needed Covariate
Volume 23
Year 2007
Page from 147
Page to 152
Reviewed? Y
URL http://www.sciencedirect.com/science/article/B6V92-4MM25R4-1/2/b2eb3412f438faf94da29801cf38257d

Associations

People
Ledolter, Johannes (Former researcher)
Organization
Institute for Statistics and Mathematics IN (Details)
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