Applied Forecasting

The JSM in Vancouver was an experience of a kind for me. Let me report highlights and a glitch (it should be clear that my wording emphasizes the sujectivity of my impressions).

• This was added on 10.08.2010: In this entry I'll refer to a small and fine research group working with Dominique Ladi...

Based on early feedback, we have made some changes to the tests already and more will follow. We now provide a general introduction on the use of the tests, including some interesting information on their use in a forecasting course. See the Education page (http://www.forecastingprinciples.com/in...

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing fr...

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gauss...

This note discusses methodological issues and practical concerns for international economists and international business scholars who apply the gravity equation in their research. The most important message of the note is that this equation should correct for multilateral resistance factors. We p...

Social experiments are powerful sources of information about the effectiveness of interventions. In practice, initial randomization plans are almost always compromised. Multiple hypotheses are frequently tested. "Significant" effects are often reported with p-values that do not account for prelim...

The causal notions embodied in the concept of Granger causality have been argued to belong to a different category than those of Judea Pearl's Causal Model, and so far their relation has remained obscure. Here, we demonstrate that these concepts are in fact closely linked by showing how each rela...