INTEGRATION, COINTEGRATION AND THE FORECAST CONSISTENCY OF STRUCTURAL EXCHANGE RATE MODELS Exchange rate forecasts are generated using some popular monetary models of exchange rates, in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality, which entails the following requirements: the forecast and the actual series i) have...

I this paper we examine the relationship between inventory levels and one-year-ahead earnings of retailers using publicly available financial data. We use benchmarking metrics obtained from operations management literature to demonstrate an inverted-U relationship between abnormal inventory growth and one-year-ahead earnings per share for retailers. We also find that equity analysts do not full...

Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic approach and the simple averaging rule. Our results are robust across various restricted and unrestricted ve...

This paper examines the feasibility of rule-based forecasting, a procedure that applies forecasting expertise and domain knowledge to produce forecasts according to features of the data. We developed a rule base to make annual extrapolation forecasts for economic and demographic time series. The development of the rule base drew upon protocol analyses of five experts on forecasting methods. Thi...

Extrapolation methods are reliable, objective, inexpensive, quick, and easily automated. As a result, they are widely used, especially for inventory and production forecasts, for operational planning for up to two years ahead, and for long-term forecasts in some situations, such as population forecasting. This paper provides principles for selecting and preparing data, making seasonal adjustmen...

This paper examines the rationality of the Australian survey-based expectations, 1and 4-week-ahead $US/$A exchange rate and 2 and 4-week-ahead Australian 90-day bank bill and 10-year bond rates. The actual and expected variables are found to be cointegrated, indicating that the expected future values and the future realizations of the exchange rate and interest rates have long-run equilibrium r...

This paper introduces a weather-based method for short-term forecasting of aggregate electricity load. We extract the weatherand illumination-dependent load via least-squares fitting for load versus Steadman apparent temperature and logscale natural illumination. A separate fit is done for each hour of the day, and then Fourier-transform-based spectral analysis handles the resulting residual. T...

Automated forecasts serve important role in space weather science, by providing statistical insights to flare-trigger mechanisms, and by enabling tailor-made forecasts and high-frequency forecasts. We have been operating unmanned flare forecast service since August, 2015 that provides 24-hour-ahead forecast of solar flares, every 12 minutes. We report the method and prediction results of the sy...

For the prediction with expert advice setting, we consider methods to construct forecasting algorithms that suffer loss not much more than any of experts in the pool. In contrast to the standard approach, we investigate the case of long-term interval forecasting of time series, that is, each expert issues a sequence of forecasts for a time interval ahead and the master algorithm combines these ...