Treatment of conflictive forecasts: efficient use of non-sample information
Juan Delrieu and
Javier Jareño ()
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Juan Delrieu: Banco de España
Javier Jareño: Banco de España
No 9219, Working Papers from Banco de España, Working Papers Homepage
Abstract We efficiently incorporate into an ARIMA model judgemental information or alternative model based forecasts. We consider a general set of linear restrictions, which are also allowed to be stochastic. Restricted forecasts are obtained by Generalised Least Squares.
Keywords: ARIMA model; restricted forecasts (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 43 pages
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9219
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