Hostname: page-component-78c5997874-fbnjt Total loading time: 0 Render date: 2024-11-05T08:08:39.084Z Has data issue: false hasContentIssue false
  • English
  • Français

Predictive Consequences of Using Conditioning or Causal Variables

Published online by Cambridge University Press:  11 February 2009

C.W.J. Granger  and
P. J. Thomson
Get access Rights & Permissions [Opens in a new window]

Abstract

Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.

Type
Brief Report
Information
Econometric Theory , Volume 3 , Issue 1 , February 1987 , pp. 150 - 152
Copyright
Copyright © Cambridge University Press 1987

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

*

Research carried out while visiting the Department of Economics, Victoria University of Wellington, New Zealand.

References

REFERENCES

1. Chamberlain, G. The general equivalence of Granger and Sims causality. Econometrica 50 (1982): 569–581.CrossRefGoogle Scholar
2. Florens, J-P and Mouchart, M.. Conditioning in dynamic models. J of Time Series Analysis 6 (1985): 15–34.Google Scholar
3. Granger, C.W.J. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37 (1969): 424–438.Google Scholar
4. Granger, C.W.J. Testing for causality: A personal viewpoint. J of Economic Dynamics and Control 2 (1980): 329–352.Google Scholar
5. Granger, C.W.J. and Newbold, P.. Forecasting Economic Time Series. New York: Academic Press, 1974.Google Scholar