This chapter reviews the principal methods used by researchers when forecasting seasonal time series. In addition, the … often overlooked implications of forecasting and feedback for seasonal adjustment are discussed. After an introduction in … linear analysis concludes with a discussion of the nature and implications of cointegration in the context of forecasting …

. However expected losses depend on true parameter values. We then review univariate and multivariate forecasting in a framework … of nuisance parameters in the models is clearest. For multivariate models we examine forecasting from cointegrating … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

walk model suggests that the forecasting performance of the monetary model is superior. …

forecasting performance of selected models showing that they perform better when these factors are considered. …

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … sign and probability forecasts. Finally, we highlight that the forecasting performance of the estimated models is time-varying. …

regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …