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To Include or Not to Include an Explanatory Variable: That is the Question

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Author Info
William Bassin
Abstract

The addition of an explanatory variable to a regression model can increase the model's historical explanatory power but decrease forecast accuracy. The difficult question is whether or not to use this explanatory variable in forecasting. The author shows how to estimate the expected effect of the variable's inclusion on forecast accuracy Copyright International Institute of Forecasters, 2005

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Article provided by International Institute of Forecasters in its journal Foresight: The International Journal of Applied Forecasting.

Volume (Year): (2005)
Issue (Month): 2 (October)
Pages: 33-36
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Handle: RePEc:for:ijafaa:y:2005:i:2:p:33-36

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