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Treatment of conflictive forecasts: efficient use of non-sample information

Luis Alvarez, 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: 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
Date: 1992
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