Outliers and judgemental adjustment of time series forecasts
AbstractThis paper links judgemental adjustment of model-based forecasts with the potential presence of exceptional observations in time series. Specific attention is given to current and future additive outliers, as these require most consideration. A brief illustration to a quarterly real GDP series demonstrates various issues. The main focus of the paper is on various testable propositions, which should facilitate the creation and the evaluation of judgemental adjustment of time series forecasts.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2008-04.
Date of creation: 18 Mar 2008
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Web page: http://www.few.eur.nl/few
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-28 (All new papers)
- NEP-ECM-2009-03-28 (Econometrics)
- NEP-ETS-2009-03-28 (Econometric Time Series)
- NEP-FOR-2009-03-28 (Forecasting)
- NEP-MAC-2009-03-28 (Macroeconomics)
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