This time it is different! Or not?

Philip Hans Franses and Eva Janssens

No EI2017-25, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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)
Pages: 39
Date: 2017-09-01
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:101764

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