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A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...
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Forecasts from various experts are often used in macroeconomic forecasting models. Usually the focus is on the mean or median of the survey data. In the present study we adopt a different perspective on the survey data as we examine the predictive power of disagreement amongst forecasters. The...
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The popular "airline" model for a seasonal time series assumes that a variable needsdouble differencing, i.e. first and seasonal (or annual) differencing.The resultant time series can usually be described by a low order movingaverage model with estimated roots close to the unit circle. This...
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