THIS TIME IT IS DIFFERENT! OR NOT? DISCOUNTING PAST DATA WHEN PREDICTING THE FUTURE

Philip Hans Franses and Eva Janssens
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Eva Janssens: Econometric Institute, Erasmus School of Economics, Burgemeester Oudlaan 50, 3062 PA Rotterdam, The Netherlands

Annals of Financial Economics (AFE), 2018, vol. 13, issue 02, 1-34

Abstract: We employ a simple method based on logistic weighted least squares to diagnose which past data are less or more useful for predicting the future course of a variable. A simulation experiment shows its merits. An illustration for monthly industrial production series for 17 countries suggests that earlier data are useful for the prediction in a crisis period (2006–2011) and for the period after the crisis (2011–2016). Hence, this time, apparently it was not that different after all.

Keywords: Forecasting; weighted least squares; discounting; logistic function; industrial production (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/S2010495218500057

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