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Predictive Consequences of Using Conditioning or Causal Variables

Published online by Cambridge University Press:  11 February 2009

C.W.J. Granger  and
P. J. Thomson
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Abstract

Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.

Type
Brief Report
Information
Econometric Theory , Volume 3 , Issue 1 , February 1987 , pp. 150 - 152
Copyright
Copyright © Cambridge University Press 1987

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Footnotes

*

Research carried out while visiting the Department of Economics, Victoria University of Wellington, New Zealand.

References

REFERENCES

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