Journal
JOURNAL OF FORECASTING
Volume 32, Issue 5, Pages 395-408Publisher
WILEY
DOI: 10.1002/for.2244
Keywords
singular spectrum analysis; forecasting; causality; industrial production series
Categories
Ask authors/readers for more resources
In recent years the singular spectrum analysis (SSA) technique has been further developed and applied to many practical problems. The aim of this research is to extend and apply the SSA method, using the UK Industrial Production series. The performance of the SSA and multivariate SSA (MSSA) techniques was assessed by applying it to eight series measuring the monthly seasonally unadjusted industrial production for the main sectors of the UK economy. The results are compared with those obtained using the autoregressive integrated moving average and vector autoregressive models. We also develop the concept of causal relationship between two time series based on the SSA techniques. We introduce several criteria which characterize this causality. The criteria and tests are based on the forecasting accuracy and predictability of the direction of change. The proposed tests are then applied and examined using the UK industrial production series. Copyright (c) 2012 John Wiley & Sons, Ltd.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available