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Title:On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It PDF Logo
Authors:Siliverstovs, Boriss
Kholodilin, Konstantin Arkadievich
Issue Date: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
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des DIW

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