A new class of models for data showing trend and multiplicative seasonality is presented. The models allow the forecast error variance to depend on the trend and/ or the seasonality. It can be shown that each of these models has the same updating equations and forecast functions as the...

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical...

The local linear trend and global linear trend models embody extreme assumptions about trends. According to the local linear trend formulation the level and growth rate are allowed to rapidly adapt to changes in the data path. On the other hand, the Glaobal linear trend model makes no allowance...

If people in conflicts can more accurately forecast how others will respond, that should help them to make better decisions. Contrary to expert expectations, earlier research found game theorists' forecasts were less accurate than forecasts from simulated interactions using student role players....