Lanne, Markku; Nyberg, Henri; Saarinen, Erkka - Volkswirtschaftliche Fakultät, … - 2011
In this paper, we compare the forecasting performance of univariate noncausal and conventional causal autoregressive models for a comprehensive data set consisting of 170 monthly U.S. macroeconomic and financial time series. The noncausal models consistently outperform the causal models in terms...