Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance

UCSD Economics Discussion Paper 97-24

47 Pages Posted: 2 Feb 1998

See all articles by Clive W. J. Granger

Clive W. J. Granger

University of California, San Diego (UCSD) - Department of Economics; Tinbergen Institute

Yongil Jeon

University of California, San Diego (UCSD) - Department of Economics

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

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

Clive W. J. Granger (Contact Author)

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
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Tinbergen Institute ( email )

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Netherlands

Yongil Jeon

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
619-534-3383 (Phone)
619-534-7040 (Fax)