Recent advances in dynamic factor modelling allow for automated construction of diffusion indices based on large numbers of explanatory variables. We use the methodology proposed by Stock and Watson (1998) to test if such diffusion indices can be used for asset market applications where predictability is expected to be small or nonexistent. Results show that for portfolios formed using the larg...

Introduction. The problem under discussion is whether savings are associated with investments in the long-term and predict investment feedback or not. Addressing important since it informs policy formulation financial sector ensuring efficient intermediation. purpose of article looks at savings-investment relationship for Ghana during period 1960 to 2016. Methodology. Utilizing ARDL (with bound...

I this paper we extend forecast band evolution and capacitated production modelling to the multiperiod demand case. In this model, forecasts of discrete demand for any period are modelled as bands and defined by lower and upper bounds on demand, such that future forecasts lie within the current band. We develop heuristics that utilize knowledge of demand forecast evolution to make production de...

The merits of the modelling philosophy of Box & Jenkins (1970) are illustrated with a summary of our recent work on seasonal river flow forecasting. Specifically, this work demonstrates that the principle of parsimony, which has been questioned by several authors recently, is helpful in selecting the best model for forecasting seasonal river flow. Our work also demonstrates the importance of mo...

Local linear fitting is a popular nonparametric method in statistical and econometric modelling. Lu and Linton (2007) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near epoch dependence. In this paper, we further investigate the uniform consistency of this estimator. The uniform strong and weak cons...

Gravity models have been extensively used to evaluate the trade effects of regional trading arrangements, (RTAs), especially over the last 10 years or so. Questions addressed by researchers include, is there a regional bias to trade and are there identifiable trade affects attributable to RTAs? This paper reviews the evidence extant from this literature and evaluates the modelling and methodolo...

This paper uses minute-by-minute British electricity demand observations to evaluate methods for prediction from 10 to 30 minutes ahead. Such very short lead times are important for the real-time scheduling of electricity generation. We consider methods designed to capture both the intraday and the intraweek seasonal cycles in the data, including ARIMA modelling, an adaptation of Holt-Winters e...

In this paper, two local approximation techniques for prediction are explored. First, a pattern recognition technique called Pattern Modelling and Recognition System (PMRS) is explored for making multiple forecasts. We then describe a single nearest neighbour based prediction system for multiple forecasting. Both models are based on using local neighbourhoods in data for making prediction. Mult...