Time series forecasts and extra‐model information

Abstract Often a forecaster has supplementary information (e.g. field reports or forecasts from another source) that cannot be included directly in a time series model. Especially interesting are cases where this information is given at time intervals that are different from those of the time series model forecasts. Previous authors have considered a numerical and a model‐based statistical method for combining extra‐model information of this type with ARIMA model forecasts. This paper extends both methods to vector ARMA model forecasts and dynamic regression (transfer function) model forecasts. It is also shown that a Lagrange multiplier numerical procedure arises as a special case of the model‐based procedure. An empirical example is given.