Real-time or current vintage: does the type of data matter for forecasting and model selection?
In this paper we investigate the impact of data revisions on forecasting and model selection procedures. A linear ARMA model and nonlinear SETAR model are considered in this study. Two Canadian macroeconomic time series have been analyzed: the real-time monetary aggregate M3 (1977-2000) and residential mortgage credit (1975-1998). The forecasting method we use is multi-step-ahead non-adaptive forecasting. Copyright © 2008 John Wiley & Sons, Ltd.
Volume (Year): 28 (2009)
Issue (Month): 3 ()
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