Prévoir sans persistance

Christophe Boucher and Bertrand Maillet

Revue économique, 2012, vol. 63, issue 3, 581-590

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. Classification JEL : C14, C53, G17.

JEL-codes: C14 C53 G17 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Prévoir sans persistance (2012)
Working Paper: Prévoir sans persistance (2012)
Working Paper: Prévoir sans persistance (2012)
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