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Predictive Consequences of UsingConditioning 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 whichincludes the other plus additional causal variablesare considered. Given a general cost function offorecast errors, it is shown that the expected costis smaller for the information set that includes thecausal variables.

Information

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 theDepartment of Economics, Victoria University ofWellington, New Zealand.

References

REFERENCES

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