search query: @author Mittnik, S. / total: 3
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| Author: | Mittnik, S. |
| Title: | Forecasting with balanced state space representations of multivariate distributed lag models. (!State space models) |
| Journal: | Journal of Forecasting
1990 : MAY-JUN, VOL. 9:3, p. 207-218 |
| Index terms: | FORECASTING MODELS TIME SERIES |
| Language: | eng |
| Abstract: | A procedure for estimating state space models for multivariate distributed lag processes is described. It involves singular value decomposition techniques and yields an internally balanced state space representation which has the advantage that lower-dimensional approximations are nested in higher-dimensional ones and that any lower-dimensional model will be dynamically stable, provided that the original model is stable. Following the specifications of a forecasting competition, the approach is applied to generate ex-post forecasts for USA real GNP growth rates. The forecasts of the estimated state space model are compared to those of twelve econometric models and an ARIMA model. Further comparisons are in preparation. |
SCIMA