Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic relationships. The first reduces parameter space by imposing long-term...

The vector innovation structural time series framework is proposed as a way of modelling a set of related time series. Like all multi-series approaches, the aim is to exploit potential inter-series dependencies to improve the fit and forecasts. A key feature of the framework is that the series...

Intermittent demand commonly occurs with inventory data, with many time periods having no demand and small demand in the other periods. Croston's method is a widely used procedure for intermittent demand forecasting. However, it is an ad hoc method with no properly formulated underlying...

This paper is concerned with model selection based on penalized maximized log likelihood function. Its main emphasis is on how these penalities might be chosen in small samples to give good statistical properties.

We consider modelling time series using a generalized additive model with first- order Markov structure and mixed transition density having a discrete component at zero and a continuous component with positive sample space. Such models have application, for example, in modelling daily occurrence...

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a...

A large number of functional forms have been suggested in the literature for estimating Lorenz curves that describe the relationship between income and population shares. One way of choosing a particular functional form is to pick the one that best fits the data in some sense. Another approach,...

Empirical tests of option pricing models are joint tests of the 'correctness' of the model, the efficiency of the market and the simultaneity of price observations. Some degree of nonsimultaeity can be expected in all but the most liquid markets and is therefore evident in many non-US markets....

The finite sample performance of the Wald, GMM and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This paper extends this analysis in two important ways. Firstly, considering the fact that the Wald test is...

It is a common practice to complement a forecasting method such as simple exponential smoothing with a monitoring scheme to detect those situations where forecasts have failed to adapt to structural change. It will be suggested in this paper that the equations for simple exponential smoothing...