Suppose we are interested in forecasting a time series and, in addition to the time series data, we have data from many time series related to the one we want to forecast. Since building a dynamic multivariate model for the set of time series can be a complex task, it is important to measure in advance the increase in precision to be attained by using multivariate forecasts with respect to univariate ones. This article presents a simple procedure designed to obtain a consistent estimate of this measure. Its performance is illustrated with Monte Carlo simulations and examples. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.
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Volume (Year): 28 (2007) Issue (Month): 6 (November) Pages: 886-909 Download reference. The following formats are available: HTML
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