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On the Importance of the Arrival of New Information

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  • Rómulo Chumacero

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Abstract

This 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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File URL: http://econ.uchile.cl/uploads/publicacion/1678258a0e5eb1f8d4a73b30f8104087f55903d8.pdf
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Bibliographic Info

Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

Volume (Year): 37 (2010)
Issue (Month): 2 Year 2010 (December)
Pages: 207-215

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Handle: RePEc:udc:esteco:v:37:y:2010:i:2:p:207-215

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Web page: http://www.econ.uchile.cl/
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Related research

Keywords: News; Innovation; Outlier; Influential Analysis;

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  1. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809.
  2. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.
  3. Franses,Philip Hans, 1998. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521586412, Fall.
  4. D. W. K. Andrews, 2003. "End-of-Sample Instability Tests," Econometrica, Econometric Society, vol. 71(6), pages 1661-1694, November.
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