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Trends, lead times and forecasting

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  • Saligari, Grant R.
  • Snyder, Ralph D.

Abstract

The local linear trend and global linear trend models embody extreme assumptions about trends. According to the local linear trend formulation the level and growth rate are allowed to rapidly adapt to changes in the data path. On the other hand, the Glaobal linear trend model makes no allowance for structural change. In this paper we introduce a new model that, as well as encompassing the global linear trend and local linear trend models, allows for a range of "in between" cases.

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 13 (1997)
Issue (Month): 4 (December)
Pages: 477-488

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Handle: RePEc:eee:intfor:v:13:y:1997:i:4:p:477-488

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Web page: http://www.elsevier.com/locate/ijforecast

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  1. Fildes, Robert, 1992. "The evaluation of extrapolative forecasting methods," International Journal of Forecasting, Elsevier, vol. 8(1), pages 81-98, June.
  2. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  3. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
  4. Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-64, July.
  5. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  6. P. J. Harrison, 1967. "Exponential Smoothing and Short-Term Sales Forecasting," Management Science, INFORMS, vol. 13(11), pages 821-842, July.
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Cited by:
  1. Haim H. Bau & Yochanan Shachmurove, 2002. "Chaos Theory And Its Application," Penn CARESS Working Papers 6a7863cdd8e575c9e635b060c, Penn Economics Department.

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