On the Importance of the Arrival of New Information

  • Rómulo Chumacero

Abstract

This paper develops a framework for evaluating the importance of the arrival
of new information for forecasting, estimation, and decision making. By fusing
known and recently developed statistical tests and concepts, the paper provides
guidelines for detecting outliers, influential observations, innovations, and
possible breaks in the end of the sample. The methodology is applied to analyze
the Chilean CPI inflation.
Keywords News, Innovation, Outlier, Influential analysis
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How to Cite
Chumacero, R. (2016). On the Importance of the Arrival of New Information. Estudios de Economía, 37(2), 207-214. Retrieved from https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/40217/43922
Section
Articles
Published
2016-04-23