On the Importance of the Arrival of New Information
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.
Volume (Year): 37 (2010)
Issue (Month): 2 Year 2010 (December)
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- D. W. K. Andrews, 2003.
"End-of-Sample Instability Tests,"
Econometric Society, vol. 71(6), pages 1661-1694, November.
- Donald W.K. Andrews, 2002. "End-of-Sample Instability Tests," Cowles Foundation Discussion Papers 1369, Cowles Foundation for Research in Economics, Yale University.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809.
- 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 841-862, November. Full references (including those not matched with items on IDEAS)
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