Title: On the predictive content of production surveys: A pan-European study
Authors: Lemmens, AurĂ©lie ×
Croux, Christophe
Dekimpe, Marnik #
Issue Date: Apr-2005
Publisher: Elsevier science bv
Series Title: International journal of forecasting vol:21 issue:2 pages:363-375
Abstract: For over 40 years, Business Tendency Surveys have been collected in multiple member states of the European Union. Previous research has studied the predictive content of the expectation variables included in those surveys through bivariate, within-country, Granger-causality tests. These tests have resulted in mixed conclusions. We extend previous research in various ways, as we (i) explicitly allow for cross-country influences, and (ii) do so using both bivariate and multivariate Granger-causality tests. Specifically, the multivariate El Himdi-Roy (HR) test is adapted to jointly test the forecasting value of multiple production expectation series, to assess whether part of this joint effect is indeed due to cross-country influences, and to determine which countries' expectation series have the most "clout" in predicting the production levels in the other member countries, or have the highest receptivity, in that their production levels are Granger caused by the other countries' expectations. (c) 2004 Published by Elsevier B.V. on behalf of International Institute of Forecasters.
ISSN: 0169-2070
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
Research Centre for Marketing and Consumer Science, Leuven
× corresponding author
# (joint) last author

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