IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v28y2007i6p886-909.html
   My bibliography  Save this article

Measuring the Advantages of Multivariate vs. Univariate Forecasts

Author

Listed:
  • Daniel Peña
  • Ismael Sánchez

Abstract

. Suppose we are interested in forecasting a time series and, in addition to the time series data, we have data from many time series related to the one we want to forecast. Since building a dynamic multivariate model for the set of time series can be a complex task, it is important to measure in advance the increase in precision to be attained by using multivariate forecasts with respect to univariate ones. This article presents a simple procedure designed to obtain a consistent estimate of this measure. Its performance is illustrated with Monte Carlo simulations and examples.

Suggested Citation

  • Daniel Peña & Ismael Sánchez, 2007. "Measuring the Advantages of Multivariate vs. Univariate Forecasts," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 886-909, November.
    • Handle: RePEc:bla:jtsera:v:28:y:2007:i:6:p:886-909
    DOI: 10.1111/j.1467-9892.2007.00538.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.2007.00538.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.2007.00538.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Juan Carlos Pérez-Velasco Pavón, 2009. "Determinantes de la demanda por la denominación promedio de billete: el caso de México," Monetaria, CEMLA, vol. 0(4), pages 523-548, octubre-d.
    2. Ricardo Gimeno & José Manuel Marqués-Sevillano, 2009. "Incertidumbre y el precio del riesgo en un proceso de convergencia nominal," Monetaria, CEMLA, vol. 0(4), pages 451-489, octubre-d.
    3. Andrés Schneider, 2009. "Regímenes de flotación administrada: un enfoque de cartera," Monetaria, CEMLA, vol. 0(4), pages 549-584, octubre-d.
    4. Emrah Oral & Gazanfer Unal, 2019. "Modeling and forecasting time series of precious metals: a new approach to multifractal data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-28, December.
    5. Juan Díaz Maureira & Gustavo Leyva Jiménez, 2009. "Proyección de la inflación chilena en tiempos difíciles," Monetaria, CEMLA, vol. 0(4), pages 491-522, octubre-d.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Justin Doran & Bernard Fingleton, 2014. "Economic shocks and growth: Spatio-temporal perspectives on Europe's economies in a time of crisis," Papers in Regional Science, Wiley Blackwell, vol. 93, pages 137-165, November.
    2. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(4), pages 445-470.
    3. Arturas Juodis, 2013. "Cointegration Testing in Panel VAR Models Under Partial Identification and Spatial Dependence," UvA-Econometrics Working Papers 13-08, Universiteit van Amsterdam, Dept. of Econometrics.
    4. Lisbeth Funding la Cour, 1995. "A Component® based Analysis of the danish Long-run Money Demand Relation," Discussion Papers 95-18, University of Copenhagen. Department of Economics.
    5. Camille Logeay & Sven Schreiber, 2006. "Testing the effectiveness of the French work-sharing reform: a forecasting approach," Applied Economics, Taylor & Francis Journals, vol. 38(17), pages 2053-2068.
    6. K. Aleks Schaefer & Daniel Scheitrum, 2020. "Sewing terror: price dynamics of the strawberry needle crisis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(2), pages 229-243, April.
    7. Manuchehr Irandoust, 2017. "Symmetry, proportionality and productivity bias hypothesis: evidence from panel-VAR models," Economic Change and Restructuring, Springer, vol. 50(1), pages 79-93, February.
    8. Levent, Korap, 2007. "Modeling purchasing power parity using co-integration: evidence from Turkey," MPRA Paper 19584, University Library of Munich, Germany.
    9. Eleanya K. Nduka & Ugochukwu E. Anigbogu & Ishaku R. Nyiputen, 2016. "Investigating the Causal Relationship Between Stock Market and Aggregate Economic Performance of South Africa," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(4), pages 218-227, April.
    10. Ralf Brüggemann & Helmut Lütkepohl, 2005. "Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 673-690, October.
    11. Philipp Gersing & Leopold Soegner & Manfred Deistler, 2022. "Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR," Papers 2204.05952, arXiv.org, revised Jul 2023.
    12. Duca, John V. & Ling, David C., 2020. "The other (commercial) real estate boom and bust: The effects of risk premia and regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, vol. 112(C).
    13. Kilponen, Juha & Kinnunen, Helvi & Ripatti, Antti, 2006. "Population ageing in a small open economy: some policy experiments with a tractable general equilibrium model," Bank of Finland Research Discussion Papers 28/2006, Bank of Finland.
    14. Mustapha Ibn Boamah, 2017. "Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(2), pages 213-224, June.
    15. Chebbi, Houssem Eddine & Lachaal, Lassaad, 2007. "Agricultural Sector and Economic Growth in Tunisia: Evidence from Co-integration and Error Correction Mechanism," 103rd Seminar, April 23-25, 2007, Barcelona, Spain 9416, European Association of Agricultural Economists.
    16. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
    17. K A El-Wassal, 2005. "Stock Market Growth: An analysis of cointegration and causality," Economic Issues Journal Articles, Economic Issues, vol. 10(1), pages 37-58, March.
    18. Darrian Collins & Clem Tisdell, 2004. "Outbound Business Travel Depends on Business Returns: Australian Evidence," Australian Economic Papers, Wiley Blackwell, vol. 43(2), pages 192-207, June.
    19. Christian Schoder, 2012. "Effective demand, exogenous normal utilization and endogenous capacity in the long run. Evidence from a CVAR analysis for the US," IMK Working Paper 103-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    20. Muhammad Shahbaz & Vassilios G. Papavassiliou & Amine Lahiani & David Roubaud, 2023. "Are we moving towards decarbonisation of the global economy? Lessons from the distant past to the present," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2620-2634, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:28:y:2007:i:6:p:886-909. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.