Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18491
Authors: 
Siliverstovs, Boriss
Kholodilin, Konstantin Arkadievich
Year of Publication: 
2006
Series/Report no.: 
DIW-Diskussionspapiere 598
Abstract: 
This paper suggests a novel approach to pre-selection of the component series of the diffusion index based on their individual forecasting performance. It is shown that this targeted selection allows substantially improving the forecasting ability compared to the diffusion index models that are based on the largest available data set.
Subjects: 
Diffusion index ; forecasting ; optimal subset of data
JEL: 
C10
E32
Document Type: 
Working Paper

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