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.Log In To View Full Content