Predictive Consequences of Using Conditioning or Causal Variables
- 11 February 1987
- journal article
- miscellanea
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 3 (1) , 150-152
- https://doi.org/10.1017/s0266466600004175
Abstract
Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.Keywords
This publication has 4 references indexed in Scilit:
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- CONDITIONING IN DYNAMIC MODELSJournal of Time Series Analysis, 1985
- The General Equivalence of Granger and Sims CausalityEconometrica, 1982
- Investigating Causal Relations by Econometric Models and Cross-spectral MethodsEconometrica, 1969