Treatment of conflictive forecasts: efficient use of non-sample information

Abstract We efficiently incorporate into an ARIMA model judgemental information or alternative model based forecasts. We consider a general set of linear restrictions, which are also allowed to be stochastic. Restricted forecasts are obtained by Generalised Least Squares.

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Year of publication:	1992
Authors:	Alvarez, Luis Julian ; Delrieu, Juan Carlos ; Jareño, Javier
Institutions:	Banco de España
Subject:	ARIMA model \| restricted forecasts

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Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 9219 43 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004981593