The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one … causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …

In this paper we apply factor models proposed by Stock and Watson [18] and VAR and ARIMA models to generate 12-month … accuracy can be further improved by combining the information contained in factor and VAR models for some indices. With respect …

In this paper we apply factor models proposed by Stock and Watson [18] and VAR and ARIMA models to generate 12-month … accuracy can be further improved by combining the information contained in factor and VAR models for some indices. With respect …

no predictability. In this paper, we expand the scope of inflation predictability and explore whether macroeconomic …, housing starts, and the term spread provide significant out-of-sample predictability for the distribution of core inflation … research shows that macroeconomic indicators do not add much to the predictability of the future mean inflation. This paper …