On trend extraction models: comments on a paper by Garcia-Ferrer and Del Hoyo
Article Abstract:
A comment on a paper exploring the forecasting ability of the ARIMA and BSM models of trend extraction is presented. A paper by Andrew HArvey is presented in contrast to the original paper by Garcia-Ferrer and Del Hoyo. The original paper is vague in the definition of orthogonality and discuss resduals of the trend. The contrasting paper argues by adding random white-noise inputs into the entire equation. Characterization of the trend component is required for the forecasting analysis.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1992
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On trend extraction models: reply on comments by Harvey
Article Abstract:
A reply to a comment on a paper on the forecasting ability of the ARIMA model defends the conclusions derived thereon. The comment makes no judgment on the conclusion that the ARIMA model outperforms the BSM model in forecasting both in the long and short run. The basic premises of the original paper are not contradicted in the comment rather, new principles are added. Smoothness is an issue that is clarified and the definition of sensible results is explained.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1992
User Contributions:
Comment about this article or add new information about this topic:
On trend extraction models: interpretation, empirical evidence and forecasting performance
Article Abstract:
Two trend forecasting models are examined in light of orthogonality of estimated components. The two models are the ARIMA model and the BSM model. Unobserved components may provide spurious decompositions if subjected to certain methods of extraction. Results indicate that the ARIMA model outperforms the BSM model in forecasting both in short and long-term analysis.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1992
User Contributions:
Comment about this article or add new information about this topic:
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