In this study, I provide evidence that aggregate earnings are predictable based on the cointegration relation between earnings and cash flows implied by the accounting identity that earnings is the sum of the cash flows and the accruals. I first show that earnings and cash flows follow random...

Meijer, Rohwedder, and Wansbeek (MRW, Journal of Business & Economic Statistics, 2012) develop methods for prediction of a single earnings figure per worker from mixture factor models fitted using earnings data from multiple linked data sources. MRW apply their method using parameter estimates...