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Original Articles

Effects of contemporaneous aggregation on the predictive power of information variables

Pages 339-342 | Published online: 06 Oct 2010

References

  • Baumgartner , J. and Ramaswamy , R. 1996 . Inflation targeting in the United Kingdom: information content of financial and monetary variables , IMF Working Paper, No. 9644
  • Debelle , G. 1997 . Inflation targeting in practice , IMF Working Paper, No. 9735
  • Friedman , B. M. and Kuttner , K. N. 1993 . Another look at the evidence on money-income causality . Journal of Econometrics , 57 : 189 – 203 .
  • Granger , C. W. J. 1990 . “ Aggregation of time series variables: a survey ” . In Disaggregation in Econometric Modelling , Edited by: Barker , T. and Peseran , M. H. London : Routledge .
  • Granger , C. W. J. and Thomson , P. J. 1987 . Predictive consequences of using conditioning or causal variables . Econometric Theory , 3 : 150 – 152 .
  • Lütkepohl , H. 1984 . Forecasting contemporaneously aggregated vector ARMA processes . Journal of Business and Economic Statistics , 2 : 201 – 214 .
  • Mills , C. T. and Stephenson , M. J. 1985 . Forecasting contemporaneous aggregates and the combination of forecasts: the case of the UK monetary aggregates . Journal of Forecasting , 4 : 273 – 281 .
  • Stock , J. H. and Watson , M. W. 1989 . Interpreting the evidence on money-income causality . Journal of Econometrics , 40 : 161 – 181 .

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