Applied Forecasting

In environmental valuation studies with stated preference methods, researchers often provide descriptions of status quo conditions which may differ from those perceived by respondents. Ignoring this difference in utility baselines may affect the magnitude of utility changes and hence bias the imp...

Although high frequency diffusion data is nowadays available, common practice is still to only use yearly figures in order to get rid of seasonality. This paper proposes a diffusion model that captures seasonality in a way that naturally matches the overall S-shaped pattern. The model is based on...

This paper considers the problem of parameter estimation in a model for a continuous response variable y when an important ordinal explanatory variable x is missing for a large proportion of the sample. Non-missingness of x, or sample selection, is correlated with the response variable and/or wit...

The deadline for applications for these grants is rapidly approaching. New visitors to the ForPrin.com site might be interested to know that our major sponsor, the International Institute of Forecasters, in collaboration with SAS®, provides financial support for research on how to improve for...

We define a simple and tractable method for adding the Leverage effect in general volatility predictions. As an application, we compare volatility predictions with and without Leverage on the SP500 Index during the period 2002-2010.

Forecasts from dynamic factor models potentially benefit from refining the data set by eliminating uninformative series. The paper proposes to use forecast weights as provided by the factor model itself for this purpose. Monte Carlo simulations and an empirical application to forecasting euro are...

For nowcasting and short-term forecasting of industrial production and GDP, business surveys are a vital source of information. They cover information of the recent past as well as developments in the near future. Whereas variations in industrial production indices potentially cover weather condi...