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FORECASTING INDUSTRIAL PRODUCTION
Multivariate forecasting models
A disaggregated approach
2 other sections not shown
12th lag aggregate index analysis ARIMA model augmented Dickey-Fuller test autoregressive conditional heteroschedasticity BANCA D'ITALIA Bank of Italy bivariate business confidence index cent significance Chow test cointegration components conditional heteroschedasticity test country-specific indices critical value deterministic Diagnostic checks Diagnostic tests differences differencing distributed lag DLIPFRJ DLIPSPJ dummy variables Durbin-Watson statistic Economic error correction Estimate t Estimate Euro area countries euro area output euro index European Commission forecasting ability FORECASTING MODEL forecasting performance Franses Germany Granger causality Indie industrial production index Italy and Spain Journal of Econometrics Journal of Forecasting KPSS lag operator Lagrange multiplier Lipus LMM2 null number of parameters one-step-ahead forecasts output levels p-value Statistic p-value paragraph Parigi residual autocorrelation restrictions RMSE seasonal dummy seasonal pattern single countries standard errors Statistic p-value Statistic sub-aggregate indicators Sub3 Sub4 Table test for residual test statistics trend stationary Unit root test univariate vector autoregressive weak exogeneity zero