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Determining the MSE-optimal cross section to forecast

Doc: 07/2010

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.

Palabras clave / Key words: forecasting, model selection, VARMA models

Determining the MSE-optimal cross section to forecast (Pdf 316 KB)
Ignacio Arbués