determining the mse-optimal cross section to forecast

8/20/2019 Determining the MSE-optimal cross section to forecast

1/33

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


2/33

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


3/33


4/33


5/33


6/33


7/33


8/33


9/33


10/33


11/33


12/33


13/33


14/33


15/33


16/33


17/33


18/33


19/33


20/33


21/33


22/33


23/33


24/33


25/33


26/33


27/33


28/33


29/33

determining the mse-optimal cross section to forecast

Documents