Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance

Clive W. J. Granger and Yongil Jeon

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: In modeling series with leading or lagging indicators, it is desirable to begin comparing models in terms of time distance. This paper formalizes the concept of time distance in terms of various metrics, and investigates the behaviors of these metrics. It is shown that under some circumstances, time distance metrics indeed perform better in forecasting than standard measures (such as MSPE), and that some time-distance metrics outperform others.

Date: 1997-10
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Persistent link: http://EconPapers.repec.org/RePEc:cdl:ucsdec:97-24

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