The Box-Jenkins methodology for modeling and forecasting from univariate time series models has long been considered a standard to which other forecasting techniques have been compared. To a Bayesian ...

Abstract. We present a nonparametric approach based on local polynomial regression for ensemble forecast of time series. The state space is first reconstructed by embedding the univariate time series ...

Journal of Applied Econometrics, Vol. 9, No. 1 (Jan. - Mar., 1994), pp. 31-45 (15 pages) The models in the literature on exchange-rate target zones imply a non-linear time series model for the ...

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