On selection of components for a diffusion index model: it's not the size, it's how you use it

Boriss Siliverstovs and Kinstantin Kholodilim

Applied Economics Letters, 2009, vol. 16, issue 12, pages 1249-1254

Abstract: This article suggests a novel approach to pre-selection of the component series of the diffusion index based on their individual forecasting performance. It is shown that this targeted selection allows substantially improving the forecasting ability compared to the diffusion index models that are based on the largest available data set.

Date: 2009

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Working Paper: On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It (2006)
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