We employ a simple method based on logistic weighted least squares to diagnose which past data are less or more useful for predicting the future course of a variable. A simulation experiment shows its merits. An illustration for monthly industrial production series for 17 countries suggests that earlier data are useful, for the prediction in a crisis period (2006-2011) and for the period after the crisis (2011-2016). Hence, this time, apparently it was not that different after all.

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Econometric Institute Research Papers
Econometric Institute

Franses, P. H., & Janssens, E. (2017). This time it is different! Or not? (No. EI2017-25). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/101764