Measuring the Advantages of Multivariate vs. Univariate Forecasts

Daniel Peña and Ismael Sánchez

Journal of Time Series Analysis, 2007, vol. 28, issue 6, 886-909

Abstract: Abstract. Suppose we are interested in forecasting a time series and, in addition to the time series data, we have data from many time series related to the one we want to forecast. Since building a dynamic multivariate model for the set of time series can be a complex task, it is important to measure in advance the increase in precision to be attained by using multivariate forecasts with respect to univariate ones. This article presents a simple procedure designed to obtain a consistent estimate of this measure. Its performance is illustrated with Monte Carlo simulations and examples.

Date: 2007
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https://doi.org/10.1111/j.1467-9892.2007.00538.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:28:y:2007:i:6:p:886-909

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