Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance
UCSD Economics Discussion Paper 97-24
47 Pages Posted: 2 Feb 1998
Date Written: October 1997
Abstract
In modeling series with leading or lagging indicators, it is desirable to begin comparing models in terms of time distance. This paper formalizes the concept of time distance in terms of various metrics, and investigates the behaviors of these metrics. It is shown that under some circumstances, time distance metrics indeed perform better in forecasting than standard measures (such as MSPE), and that some time-distance metrics outperform others.
JEL Classification: C22, C32, C52, C53
Suggested Citation: Suggested Citation
Granger, Clive W. J. and Jeon, Yongil, Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance (October 1997). UCSD Economics Discussion Paper 97-24, Available at SSRN: https://ssrn.com/abstract=56515 or http://dx.doi.org/10.2139/ssrn.56515
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