In There is evidence that exponential smoothing methods as well as time varying parameter models perform relatively well in forecasting comparisons. The aim of this paper is to introduce a new forecasting technique by integrating the exponential smoothing model with regressors whose coefficients...

We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition and the M3-competition, and many of the measures recommended by previous authors on this topic, are found to be inadequate, and many of them are degenerate in commonly occurring...

This paper argues that VAR models with cointegration and common cycles can be usefully viewed as observable factor models. The factors are linear combinations of lagged levels and lagged differences, and as such, these observable factors have potential for forecasting. We illustrate this...

This paper proposes two new weighting schemes that average forecasts using different estimation windows to account for structural change. We let the weights reflect the probability of each time point being the most-recent break point, and we use the reversed ordered Cusum test statistics to...

This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G7 countries. The models use the spread between short-term and long-term interest rates as leading indicators for GDP, and their success in capturing business cycles is gauged by non-parametric...

This paper develops a new non-linear model to analyse the business cycle by exploiting the relationship between the asymmetrical behaviour of the cycle and leading indicators. The model proposed is an innovations form of the structural model underlying simple exponential smoothing that is...

This paper studies linear and linear autoregressive leading indicator models of business cycles in OECD countries. The models use the spread between short-term and long-term interest rates as leading indicators for GDP, and their success in capturing business cycles gauged by the non-parametric...

In this article we investigate the theoretical behaviour of finite lag VAR(n) models fitted to time series that in truth come from an infinite order VAR(?) data generating mechanism. We show that overall error can be broken down into two basic components, an estimation error that stems from the...

We develop nonlinear leading indicator models for GDP growth, with the interest rate spread and growth in M2 as leading indicators. Since policy makers are typically interested in whether or not a recession is imminent, we evaluate these models according to their ability to predict the...

This paper studies the All Ordinaries Index in Australia, and its futures contract known as the Share Price Index. We use a new form of smooth transition model to account for a variety of nonlinearities caused by transaction costs and other market/data imperfections, and given the recent...