This paper argues that VAR models with cointegration and common cycles can be usefully viewed as observable factor … have potential for forecasting. We illustrate this forecast potential in both a Monte Carlo and empirical setting, and … demonstrate the difficulties in developing forecasting "rules of thumb" for forecasting in multivariate systems. …

, including average forecasts weighted by past forecasting performance and techniques that first estimate a break point and then … indicates that it is possible to outperform the random walk forecasting model when we employ forecasting methods that account …

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 … ensemble VAR(n) counterparts, and an approximation error that stems from the difference between the VAR(n) and the true VAR …

Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period …, over one third of all papers published in these journals concerned time series forecasting. We also review highly … influential works on time series forecasting that have been published elsewhere during this period. Enormous progress has been …

the other periods. Croston's method is a widely used procedure for intermittent demand forecasting. However, it is an ad …

forecasting error (MISFE) and accounts for 99.3% of variation around the mean mortality curve. 20 year forecast suggest a … greatest decline in older women. We illustrate the utility of a new modelling and forecasting approach to model breast cancer …

-term forecasting and also produce sensible long-term forecasts. The forecasts are compared with the official Australian government …

The application of traditional forecasting methods to discrete count data yields forecasts that are non-coherent. That …