Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 1979, Volume 47, Issue 1

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