Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting: Reply

Pieter W Otter

Journal of Business & Economic Statistics, 1992, vol. 10, issue 4, 471-72

Abstract: In this rejoinder, several arguments are given against the criticism of A. Zellner and C. Hong. The main argument is that they use one-year-ahead forecasts from a model which differs in specification from the model used in the paper, whereas the aim of the paper is to illustrate the potential usefulness of the method by giving one- and multiyear-ahead forecasts and to compare--to a certain extent--forecasting methods.

Date: 1992
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