We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing...

This paper establishes practical criteria for selecting amongst hypothetical data generating processes in cases where the series has long memory and exponential distribution which implies that the innovations have extremely fat tails.

Models that may appear to have different properties may in fact produce residuals that differ only in subtle ways. By analysing the relationships between model residuals the problems in distinguishing between models can perhaps be discovered, as illustrated by the econometric examples...

Because utilities bill their residential and commercial customers by cycle on each working day of the month, the calculation of weather variables to associate with monthly sales data is complicated. We examined three different methods of calculating weather variables. 1.(1) For a utility that...

Brazil has long ago removed most of the perverse government incentives that stimulated massive deforestation in the Amazon in the 1970s and 1980s, but the highly controversial policy concerning road building still remains. While data is now abundantly available due to the constant satellite...

The efficient market hypothesis gives rise to forecasting tests that mirror those adopted when testing the optimality of a forecast in the context of a given information set. However, there are also important differences arising from the fact that market efficiency tests rely on establishing...

Traditional "Granger-Causality" (henceforth just G-causality) concerned the conditional mean. It required that the causal variable Yt preceded the causal variable Xt+1 in time and also that Yt contained special information about Xt+1 which would be shown in the conditional mean E[Xt+1|Yt]. There...