This time it is different! Or not?
Discounting past data when predicting the future
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.
|Keywords||Forecasting, Weighted Least Squares, Discounting, Logistic function, Industrial Production|
|Series||Econometric Institute Research Papers|
Franses, Ph.H.B.F, & 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