The forecasting of time series in goods management systems causes various problems that we identify and indicate possible solutions. The implementation of auxiliary information like promotional activities or calendar effects in forecasts using ARMA models and exponential smoothing methods may be...

We show that the F-test can be both liberal and conservative in the context of a particular type of nonspherical behaviour induced by spatial autocorrelation, and that the conservative variant is more likely to occur for extreme values of the spatial autocorrelation parameter. In particular, it...

It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su±cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...

We investigate the OLS-based estimator s 2 of the disturbance variance in the standard linear regression model with cross section data when the disturbances are homoskedastic, but spatially correlated. For the most popular model of spatially autoregressive disturbances, we show that s 2 can be...

Wirtschaftsdaten als Objekte von Prognosen sind meist metrischer Natur: Arbeitslosenzahlen, Aktienkurse, Umsätze, Erlöse usw., alle sind quantitative Variable, bei denen sich Prognosen und realisierte Werte, wie auch konkurrierende Prognosen, leicht vergleichen lassen. Anders die Lage bei...

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not comparable according to the domination ordering suggested by Vardeman and Meeden (1983), that the...