Lead-Lag Relations, Exogeneity and Prediction of Economic Time Series

DOI10.2307/1912349zbMath0392.62076OpenAlexW2105112736MaRDI QIDQ4174131

Salih N. Neftci

Publication date: 1979

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912349

zbMATH Keywords

PredictionEconomic Time SeriesCovariance-Stationary ProcessesEmpirical TestsExogeneityLead-Lag Relations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84)

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