Outliers and judgemental adjustment of time series forecasts

Philip Hans Franses

No EI 2008-04, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This paper links judgemental adjustment of model-based forecasts with the potential presence of exceptional observations in time series. Specific attention is given to current and future additive outliers, as these require most consideration. A brief illustration to a quarterly real GDP series demonstrates various issues. The main focus of the paper is on various testable propositions, which should facilitate the creation and the evaluation of judgemental adjustment of time series forecasts.

Date: 2008-03-18
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