Official forecasts of international institutions are never purely model-based. The preliminary results of models are adjusted with expert opinions. What is the impact of these adjustments for the forecasts? Are they necessary to get ‘optimal’ forecasts? When model-based forecasts are...

We analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical forecasting study. We include both single equation and multiple equation methods. A VAR model in first differences with and without cointegration restrictions is also included in...

See also the article with the same title in the 'Journal of Forecasting' (2013), 33, 69-79.<P> We analyze the behavior of experts who quote forecasts for monthly SKU-level sales data where we compare data before and after the moment that experts received different kinds of feedback on their...</p>

See the article in <I>Mathematics and Computers in Simulation (MATCOM)</I> (2013). Volume 93(c), pages 9-18.<P> Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable....</p></i>

Market share models for weekly store-level data are useful to understand competitive structures by delivering own and cross price elasticities. These models can however not be used to examine which brands lose share to which brands during a specificperiod of time. It is for this purpose that we...

We propose a modeling framework which allows for creating probability predictions on a future market crash in the medium term, like sometime in the next five days. Our framework draws upon noticeable similarities between stock returns around a financial market crash and seismic activity around...

We propose a new and simple methodology to estimate the loss function associated with experts' forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear...

Experts can rely on statistical model forecasts when creating their own forecasts. Usually it is not known what experts actually do. In this paper we focus on three questions, which we try to answer given the availability of expert forecasts and model forecasts. First, is the expert forecast...

This discussion paper resulted in a publication in the <I>International Journal of Forecasting</I> (2013). Volume 29(4), pages 622-627.<P> It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions....</p></i>

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...