A Note on Updating Forecasts When New Information Arrives Between Two Periods

12 Pages Posted: 18 Dec 2010

See all articles by Pu Chen

Pu Chen

Bielefeld University - Department of Business Administration and Economics

Date Written: 2009

Abstract

In this note the author discusses the problem of updating forecasts in a time-discrete forecasting model when information arrives between the current period and the next period. To use the information that arrives between two periods, he assumes that the process between two periods can be approximated by a linear interpolation of the timediscrete forecasting model. Based on this assumption the author drives the optimal updating rule for the forecast of the next period when new information arrives between the current period and the next period. He demonstrates by theoretical arguments and empirical examples that this updating rule is simple, intuitively appealing, defendable and useful.

Keywords: Forecast

Suggested Citation

Chen, Pu, A Note on Updating Forecasts When New Information Arrives Between Two Periods (2009). Economics Discussion Paper No. 2009-22, Available at SSRN: https://ssrn.com/abstract=1726722 or http://dx.doi.org/10.2139/ssrn.1726722

Pu Chen (Contact Author)

Bielefeld University - Department of Business Administration and Economics ( email )

P.O. Box 100131
D-33501 Bielefeld, NRW 33501
Germany