Multi-step error variances for periodically integrated time series

Article Abstract:

Forecast error variances are provided for the multi-step, out-of-sample forecasts for the levels of a periodically integrated time series. Seasonal variation occur in the forecast error variances, indicating that the preciseness of forecasts vary in different seasons. The empirical relevance of calculating forecast error variances is illustrated through the use of two examples.

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Time-series properties and forecasts of crude steel consumption in the UK

Article Abstract:

Crude steel consumption in the UK is forecasted based on simple data transformations, unit root testing with seasonal data and a structural time-series model. The result is hoped to improve on the forecasts of the International Iron and Steel Institute and other related organizations. Ex-ante forecasts up to the end of 1998 reveal a downward phase in steel consumption.

Iron and Steel Mills, Blast furnaces and steel mills, Raw Steel, United Kingdom, Methods, Supply and demand, Forecasting, Steel

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Sensitivity of univariate AR (1) time-series forecasts near the unit root

Article Abstract:

A new study investigates whether the non-stationarity of time series has a bearing on medium-term forecasting.

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