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| Henri Nyberg, Markku Lanne and Erkka Saarinen |
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| ''Does noncausality help in forecasting economic time series?'' |
| ( 2012, Vol. 32 No.4 ) |
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| In this paper, we compare the forecasting performance of univariate noncausal and conventional causal autoregressive models for a comprehensive data set consisting of 170 monthly U.S. macroeconomic and financial time series. The noncausal models consistently outperform the causal models. For a collection of quarterly time series, the improvement in forecast accuracy due to allowing for noncausality is found even greater. |
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| Keywords: Noncausal autoregression, forecast comparison, macroeconomic variables, financial variables |
JEL: C5 - Econometric Modeling: General
C2 - Single Equation Models; Single Variables: General |
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| Manuscript Received : May 10 2012 | | Manuscript Accepted : Oct 11 2012 |
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