This paper discusses the use of preliminary data in econometric forecasting. The standard practice is to ignore the distinction between preliminary and final data, the forecasts that do so here being termed naïve forecasts. It is shown that in dynamic models a multistep-ahead naïve forecast...

This paper considers the problem of testing for the presence of stochastic trends in multivariate time series with structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate locally best invariant test and the common trend test of Nyblom and Harvey...

The local quadratic trend model provides a flexible response to underlying movements in a macroeconomic time series in its estimates of level and change. If the underlying movements are thought of as a trend plus cycle, an estimate of the cycle may be obtained from the quadratic term. Estimating...

This article reviews recent work on testing for the presence of non-stationary unobserved components and presents it in a unified way. Tests against random walk components and seasonal components are given and it is shown how the procedures may be extended to multivariate models and models with...