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Working Papers
07 /2010
The views expressed in this working paper are those of the authors and do not
necessarily reflect the views of the Instituto Nacional de Estadística of Spain
First draft: December 2010
This draft: December 2010
Determining the MSE-optimal cross section to
forecast
Ignacio Arbués
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Determining the MSE-optimal cross section to forecast
Abstract
We address the problem of which subset of time series to select among a given set in
order to forecast another series. The forecasts are evaluated in terms of Mean Squared
Error. We propose a family of criteria for which weak and strong consistency results are
proved. The criteria are compared to some well-known hypothesis tests by means of
Monte Carlo experimentation and a real-data example.
Keywords
forecasting, model selection, VARMA models
Authors and Affiliations
Ignacio Arbués
Dirección General de Metodología, Calidad y Tecnologías de la Información y las
Comunicaciones, Instituto Nacional de Estadística
INE.WP: 07 /2010 Determining the MSE-optimal cross section to forecast
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