Predictive Consequences of Using Conditioning or Causal Variables

Clive Granger and P. J. Thomson

Econometric Theory, 1987, vol. 3, issue 1, 150-152

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.

Date: 1987
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