Econometrica: Jan 1979, Volume 47, Issue 1
Lead-Lag Relations, Exogeneity and Prediction of Economic Time Series
Salih N. NeftciThis 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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