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《多元时间序列分析中的典型相关及一年与多年期宏观预测应用》评论回复AI 解读

Pieter W. Otter, [Comments on "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," by P. W. Otter]: Reply, Journal of Business & Economic Statistics, Vol. 10, No. 4 (Oct., 1992), pp. 471-472

A simple one-period-ahead and multiperiod-ahead prediction procedure for multivariate time series is suggested, based on the canonical correlation technique. The prediction procedure is direct in the sense that no lag orders and parameters have to be estimated first, as in the usual ARMAX or VAR parameterizations of multivariate stationary stochastic processes. A best (in the mean squared error sense) predictor can be obtained directly using singular-value decompositions of…