Generally, we value forecasts for their accuracy. In some cases, however, the forecasts themselves are interesting because of what they reveal about the forecaster. Monetary policymaker forecasts are important because they partially reveal what policymakers believe will follow from their decisions. Forecasts of inflation and real output (whether made by Federal Reserve officials or private sect...

Accurate demand forecasts are important for managing energy efficiently in electric grids. However, building models for demand forecasting is a challenging task as it depends on numerous factors that are both intrinsic and external to the grid. Furthermore, these factors are time-varying and non-linear as well. This makes demand forecasting a cumbersome task. This investigation proposes a simpl...

This paper surveys some of the theoretical and econometric issues involved in estimating growth models that include military spending. In particular, it critically evaluates the commonly used Feder-Ram model, detailing its problems and limitations and suggesting a more acceptable theoretical approach. It also surveys the econometric issues involved in estimating these models and uses a panel of...

In this paper we investigate the multi-period forecast performance of a number of empirical selfexciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates and GNP, amongst other variables. We take each of the empirical SETAR models in turn as the DGP to ensure that the ‘non-linearity’ characterises the future, and compare the forecast...

In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting time until a predetermined volume is absorbed by the market. Since this concept measures the trading volume per time it is strongly related to market liquidity. I focus on volumes measured independently of the side of the market as well as on buy volumes, sell volumes and volumes measured on both ma...

Modeling of a product or service’s attractiveness as a function of its own attributes (e.g., price and quality) is one of the foundations in econometric forecasts, which have been provided with an assumption that each human rationally has a consistent preference order among his choice decisions. Yet the preference orders by real humans become irrationally reversed, when the choice set of availa...

The increasing number of consumer goods and services offered in recent years suggests that product line extensions have become a favored strategy of product managers. A larger assortment, it is often argued, keeps customers loyal and allows firms to charge higher prices. There is disagreement, however, to what extent a longer product line translates into higher profits. We develop an econometri...

High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural break heavy-tailed heterogeneous autoregressive (HAR) volatility econometric model with the enhanc...

Numerical simulations of the atmosphere are routinely carried out on various scales for purposes ranging from weather forecasts for local areas a few hours ahead to forecasts of climate change over periods of hundreds of years. Almost without exception, these forecasts are made with space/time-averaged versions of the governing Navier-Stokes equations and laws of thermodynamics, together with a...

This paper develops a choice model for environmental public goods which allows for consumers to learn about their preferences through consumption experiences. We develop a theoretical model of Bayesian updating, perform comparative statics over the model, and show how the theoretical model can be consistently incorporated into a reduced form econometric model. Our main findings are that in a Ra...