Predictive Consequences of Using Conditioning or Causal Variables

B-Tier
Journal: Econometric Theory
Year: 1987
Volume: 3
Issue: 1
Pages: 150-152

Authors (2)

Granger, C.W.J. Thomson, P. J. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.

Technical Details

RePEc Handle
repec:cup:etheor:v:3:y:1987:i:01:p:150-152_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25