Econometrica Vol. 47 No. 1 1979
Lead-Lag Relations, Exogeneity and Prediction of Economic Time Series
Abstract
[This paper investigates the degree to which a "leading" time series improves the prediction of coincident series. The theory of covariance-stationary processes is used as the theoretical framework and empirical tests dealing with the predictive ability of "leading" series are supplied.]
- DOI
- 10.2307/1912349
- Volume
- 47
- Issue
- 1
- Pages
- 101
- Sources
- bibtex:phds-export.bib crossref openalex