Contents
List of Contributors ix
Preface xi
Acknowledgments xiii
1 An Overview of Economic Forecasting 1
Michael P. Clements and David F. Hendry
2 Predictable Uncertainty in Economic Forecasting 19
Neil R. Ericsson
3 Density Forecasting: A Survey 45
Anthony S. Tay and Kenneth F. Wallis
4 Statistical Approaches to Modeling and Forecasting Time Series 69
Diego J. Pedregal and Peter C. Young
5 Forecasting with Structural Time-Series Models 105
Tommaso Proietti
6 Judgmental Forecasting 133
Dilek Önkal-Atay, Mary E. Thomson, and Andrew C. Pollock
7 Forecasting for Policy 152
Adrian R. Pagan and John Robertson
8 Forecasting Cointegrated VARMA Processes 179
Helmut Lütkepohl
9 Multi-Step Forecasting 206
R.J. Bhansali
10 The Rationality and Efficiency of Individuals’ Forecasts 222
Herman O. Stekler
11 Decision-Based Methods for Forecast Evaluation 241
M. Hashem Pesaran and Spyros Skouras
12 Forecast Combination and Encompassing 268
Paul Newbold and David I. Harvey
13 Testing Forecast Accuracy 284
Roberto S. Mariano
14 Inference About Predictive Ability 299
Michael W. McCracken and Kenneth D. West
15 Forecasting Competitions: Their Role in Improving Forecasting
Practice and Research 322
Robert Fildes and Keith Ord
16 Empirical Comparisons of Inflation Models’ Forecast Accuracy 354
Øyvind Eitrheim, Tore Anders Husebø, and Ragnar Nymoen
17 The Forecasting Performance of the OECD Composite Leading
Indicators for France, Germany, Italy, and the U.K. 386
Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale,
and Richard J. Smith
18 Unit-Root Versus Deterministic Representations of Seasonality
for Forecasting 409
Denise R. Osborn
19 Forecasting with Periodic Autoregressive Time-Series Models 432
Philip Hans Franses and Richard Paap
20 Nonlinear Models and Forecasting 453
Ruey S. Tsay
21 Forecasting with Smooth Transition Autoregressive Models 485
Stefan Lundbergh and Timo Teräsvirta
22 Forecasting Financial Variables 510
Terence C. Mills
23 Explaining Forecast Failure in Macroeconomics 539
Michael P. Clements and David F. Hendry
Author Index 572
Subject Index 583 |
