An evaluation of forecasting using leading indicators

Article Abstract:

The use of leading indicators of economic activity to forecast various economic time series is again becoming popular due to perceived forecasting failures by macro-economic systems and developments in leading-indicator theory. However, as in the case of the UK, several problems regarding the use of leading indicators in macroeconomic models should first be solved before they can be considered as essentials for economic forecasting.

Models, Evaluation, Economic indicators, Macroeconomics

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The decomposition of forecast in seasonal ARIMA models

Article Abstract:

A procedure for decomposing the forecast function of a seasonal ARIMA model has been developed. It breaks down the forecast function in terms of the ARIMA model's permanent and transitory components. The procedure simplifies ARIMA interpretation and supports comparisons between ARIMA models and models in state space representation.

Forecasts and trends, Seasonal variations (Economics)

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The extended switching regression model: allowing for multiple latent state variables

Article Abstract:

An extended switching regression model with several latent state variables is constructed. Volatility f orecasts of foreign exchange rates using the model dominate forecasts generated using other procedures.

Israel, Science & research, Belgium, Research, Usage, Foreign exchange, Foreign exchange rates, Regression analysis, Report, Volatility (Finance)

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