Forecasting Industrial Production
作者:
H.O. Stekler,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1961)
卷期:
Volume 56,
issue 296
页码: 869-877
ISSN:0162-1459
年代: 1961
DOI:10.1080/01621459.1961.10482131
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper analyzes the predictive performance of several forecasting techniques: (1) a leading series regression, (2) the independent components of these leading series, and (3) a diffusion index. The comparative predictive performance in forecasting the turning points of the FRB Index of Production was measured by means of lead-reliability functions. The use of lead-reliability functions requires rules for identifying true and false peaks. In applying these rules, it was shown that the estimated values of the lead-reliability relationship are sensitive to the rule which is used to identify the true turns. A comparison of the predictive performance of the three techniques shows that both the diffusion index and the independent components are better predictors than the regression.
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