| Abstract: | An optimal univariate forecast, based on historical and additional information about the future, is obtained in this paper. Its statistical properties, as well as some inferential procedures derived from it, are indicated. Two main situations are considered explicitly: (1) when the additional information imposes a constraint to be fulfilled exactly by the forecasts and (2) when the information is only a conjecture about the future values of the series or a forecast from an alternative model. Theoretical and empirical illustrations are provided, and a unification of the existing methods is also attempted. |
