Optimal forecasting of noncausal autoregressive time series

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• 作者：Markku Lanne^a ; ^b ; ^{markku.lanne@helsinki.fi} ; Jani Luoto^a ; ^b ; ^{jani.luoto@helsinki.fi} ; Pentti Saikkonen^c ; ^b ; ^{pentti.saikkonen@helsinki.fi}
• 关键词：Noncausal time series ; Non-Gaussian time series ; Point forecast ; Density forecast ; Inflation
• 刊名：International Journal of Forecasting
• 出版年：2012
• 期刊代码：27_01692070
• 类别：mt
• 出版时间：July-September, 2012
• 卷：28
• 期：3
• 页码：623-631
• 文件大小：291 K

摘要

In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed for forecasting such time series because the prediction problem is generally nonlinear and therefore no analytic solution is available. According to a limited simulation experiment, the use of a correct noncausal model can lead to substantial gains in forecast accuracy over the corresponding causal model. An empirical application to US inflation demonstrates the importance of allowing for noncausality in improving point and density forecasts.