Prévoir sans persistance

Christophe Boucher () and Bertrand Maillet ()
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Christophe Boucher: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Bertrand Maillet: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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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.

Date: 2012-05
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Published in Revue Economique, 2012, 63 (3), pp.581-590. ⟨10.3917/reco.633.0581⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00820714

DOI: 10.3917/reco.633.0581

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