Trends, lead times and forecasting
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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- Schotman, Peter C & van Dijk, Herman K, 1991.
"On Bayesian Routes to Unit Roots,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
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- P. J. Harrison, 1967. "Exponential Smoothing and Short-Term Sales Forecasting," Management Science, INFORMS, vol. 13(11), pages 821-842, July.
- 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.
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