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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 11E, Monash University, Victoria 3800, Australia|
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Fildes, Robert, 1992. "The evaluation of extrapolative forecasting methods," International Journal of Forecasting, Elsevier, vol. 8(1), pages 81-98, June.
- 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.
- 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.
- P. J. Harrison, 1967. "Exponential Smoothing and Short-Term Sales Forecasting," Management Science, INFORMS, vol. 13(11), pages 821-842, July.
- 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.
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:1996-1. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.