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On the Importance of the Arrival of New Information

  • Rómulo Chumacero

    ()

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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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
Contact details of provider: Web page: http://www.econ.uchile.cl/

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  1. 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.
  2. D. W. K. Andrews, 2003. "End-of-Sample Instability Tests," Econometrica, Econometric Society, vol. 71(6), pages 1661-1694, November.
  3. repec:cup:cbooks:9780521632423 is not listed on IDEAS
  4. repec:cup:cbooks:9780521634809 is not listed on IDEAS
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