On the Importance of the Arrival of New Information
AbstractThis paper develops a framework for evaluating the importance of the arrival of new information for forecasting, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides guidelines for detecting outliers, influential observations, innovations, and possible breaks in the end of the sample. The methodology is applied to analyze the Chilean CPI inflation.
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Bibliographic InfoArticle provided by University of Chile, Department of Economics in its journal Estudios de Economia.
Volume (Year): 37 (2010)
Issue (Month): 2 Year 2010 (December)
News; Innovation; Outlier; Influential Analysis;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"End-of-Sample Instability Tests,"
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1369, Cowles Foundation for Research in Economics, Yale University.
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- Clements,Michael & Hendry,David, 1998.
"Forecasting Economic Time Series,"
Cambridge University Press, number 9780521634809, December.
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