EconPapers    
Economics at your fingertips  
 

Prévoir sans persistance

Christophe Boucher () and Bertrand Maillet
Additional contact information
Christophe Boucher: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, A.A.Advisors-QCG - ABN AMRO

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The forecasting literature has identified three important and broad issues: the predictive content is unstable over time, in-sample and out-of-sample discordant results and the problematic statistical inference with highly persistent predictors. In this paper, we simultaneously address these three issues, proposing to directly treat the persistence of forecasting variables before use. We thus cut-out the low frequency components and show, in simulations and on financial data, that this pre-treatment improves the predictive power of the studied economic variables.

Keywords: filters; forecasting; filtres; prévision; persistance (search for similar items in EconPapers)
Date: 2012-01
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00662771
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Published in Documents de travail du Centre d'Economie de la Sorbonne 2012.01 - ISSN : 1955-611X. 2012

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00662771/document (application/pdf)

Related works:
Journal Article: Prévoir sans persistance (2012) Downloads
Working Paper: Prévoir sans persistance (2012)
Working Paper: Prévoir sans persistance (2012)
Working Paper: Prévoir sans persistance (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00662771

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Series data maintained by CCSD ().

 
Page updated 2017-06-13
Handle: RePEc:hal:cesptp:halshs-00662771