Title: On the predictive content of production surveys: a pan-European study
Authors: Lemmens, AurĂ©lie
Croux, Christophe
Dekimpe, Marnik
Issue Date: 2004
Publisher: K.U.Leuven
Series Title: DTEW Research Report 0402 pages:1-30
Abstract: For over forty years, Business Tendency Surveys have been collected in multiple member states of the European Union. Previous research has studied the predictive accuracy of the expectation variables included in those surveys through bivariate, within-country, Granger-causality tests, which has resulted in mixed conclusions. We extend previous research in various ways, as we (i) explicitly allow for cross-country in uences, and (ii) do so using both bivariate and multivariate Granger-causality tests. Speci cally, the multivariate El-Himdi and Roy test is adapted to jointly test the forecasting value of multiple production expectation series, to assess whether part of this joint e ect is indeed due to cross-country in uences, and to determine which countries' expectation series have most \clout' in predicting the production levels in the other member countries, or have higher \receptivity', in that their production levels are Granger-caused by the other countries' expectations.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
Research Centre for Marketing and Consumer Science, Leuven

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