IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting

  • Otter, Pieter W
Registered author(s):

    A simple one-period-ahead and multiperiod-ahead prediction procedure for multivariate time series is suggested, based on the canonical correlation technique. The prediction procedure is direct in the sense that no lag orders and parameters have to be estimated first, as in the usual ARMAX or VAR parameterizations of multivariate stationary stochastic processes. A best (in the mean squared error sense) predictor can be obtained directly using singular-value decompositions of covariance matrices. The procedure is used to forecast one-year-ahead and multiyear-ahead national growth rates of 14 countries for the years 1974-84.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 8 (1990)
    Issue (Month): 4 (October)
    Pages: 453-57

    as
    in new window

    Handle: RePEc:bes:jnlbes:v:8:y:1990:i:4:p:453-57
    Contact details of provider: Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main

    Order Information: Web: http://www.amstat.org/publications/index.html

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:8:y:1990:i:4:p:453-57. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.