Future developments in forecasting : The time series connexion

Abstract Relations between forecasting and time series analysis have been somewhat strained in the past; this paper attempts to point some of the benefits which could accrue from a closer liaison. Among the issues discussed are the behefits (if any) of including explanatory variables, the need for more systematic updating of forecasting models, and issues of forecasting horizons and method selection. Developments in multiple series modeling and in forecasting intrinsically nonlinear systems are also examined.

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