We develop a formal statistical approach to investigate the possibility that leading indicator variables have different lead times at business cycle peaks and troughs. For this purpose, we propose a novel Markov switching vector autoregressive model, where economic growth and leading indicators...

Experts can rely on statistical model forecasts when creating their own forecasts. Usually it is not known what experts actually do. In this paper we focus on three questions, which we try to answer given the availability of expert forecasts and model forecasts. First, is the expert forecast...

The authors put forward a sales response model to explain the differences in immediate and dynamic effects of promotional prices and regular prices on sales. The model consists of a vector autoregression rewritten in error-correction format which allows to disentangle the immediate effects from...

This chapter develops a return forecasting methodology that allows for instability in the relationship between stock returns and predictor variables, model uncertainty, and parameter estimation uncertainty. The predictive regression specification that is put forward allows for occasional...