Anderson, Heather M. (contributor); … - 2005
forecast
analysis shows that multivariate models outperform univariate models, but that there is little
difference between … forecast of C
t
is not
the best possible forecast given the entire past information set. If it is reasonable
to assume a … these filters are two-sided filters, they are not useful for forecast-
ing. To overcome this problem, Forni et al (2003 …