Econometrica: Jan 1979, Volume 47, Issue 1

Lead-Lag Relations, Exogeneity and Prediction of Economic Time Series

https://doi.org/0012-9682(197901)47:1<101:LREAPO>2.0.CO;2-3
p. 101-114

Salih N. Neftci

This paper investigates the degree to which a "leading" time series improves the prediction of coincident series. The theory of covariance-stationary processes is used as the theoretical framework and empirical tests dealing with the predictive ability of "leading" series are supplied.

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