This paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We show how one should account for unit roots and deterministic terms when generating out-of-sample forecasts. We illustrate the models for various quarterly UK consumption series.

This report presents a comprehensive review of the maritime safety regimes and provides recommendations on how to improve the system. The results show a complex legal framework which generates a high amount of inspections and overlapping of inspection areas where no cross-recognition is...

We propose to estimate the parameters of the Market Share Attraction Model (Cooper & Nakanishi, 1988; Fok & Franses, 2004) in a novel way by using a non-parametric technique for function estimation called Support Vector Regressions (SVR) (Vapnik, 1995; Smola, 1996). Traditionally, the parameters of the...

Basic innovations are often believed to be the drivers of economic growth. It has been widely documented that economic growth follows cyclical patterns of varying length. In this paper we examine if such patterns are also present in basic innovations. For an annual time series of count data...

Forecasts in the airline industry are often based in part on statistical models but mostly on expert judgment. It is frequently documented in the forecasting literature that expert forecasts are biased but that their accuracy is higher than model forecasts. If an expert forecast can be...

This paper reviews research issues in modeling panels of time series. Examples of this type of data are annually observed macroeconomic indicators for all countries in the world, daily returns on the individual stocks listed in the S&P500, and the sales records of all items in a retail store. A...

Based on detailed shipping figures of Suriname’s main harbour in Paramaribo, we estimate the total shipments (in kilograms) of original and counterfeit medical products for 1996-2008 across five product categories. Using various time series techniques, we document that total cumulative...

In this paper the issue of detecting and handling outliers in the GARCH(1,1) model is addressed. Simulation evidence shows that neglecting even a single outlier has a dramatic on parameter estimates. To detect and correct for outliers, we propose an adaptation of the iterative in Chen and Liu...

Theory predicts that dismissing the 1 and 2 euro cent coins from the denominational range of the euro leads to more payment efficiency. To examine whether this theory holds true in practice, we collected data for the Netherlands before and after September 1 2004, which marks the day that retail...

We study the diffusion of original and counterfeit products in three distinct categories in a developing country. The focus is on when their diffusion processes peak, how sales of original and counterfeit products are related and how marketing efforts can influence this process. Using a unique...