Resource title

On Selection of Components for a Diffusion Index Model: It?s not the Size, It?s How You Use It

Resource image

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Resource description

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.

Resource author

Boriss Siliverstovs, Konstantin Arkadievich Kholodilin

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/18491

Resource license

Adapt according to the presented license agreement and reference the original author.