Economics, Econometrics and Finance
4 years ago

Unlocking Accurate Forecasts: Noncausal Models Improve Predictions for US Inflation

International Journal of Forecasting
Optimal forecasting of noncausal autoregressive time series
Markku Lanne, Jani Luoto, Pentti Saikkonen

Paper Summary

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The article discusses a new method for predicting future values of certain types of data that don't follow the usual cause-and-effect pattern. The researchers found that using this method can lead to more accurate predictions compared to traditional methods. They tested this approach on US inflation data and showed that considering these non-causal relationships can improve the accuracy of forecasts.