A Companion to Economic Forecasting

by Clements, Michael P.; Hendry, David F.

• ISBN13: 9780631215691
• ISBN10: 0631215697
• Edition: 1st
• Format: Hardcover
• Copyright: 2002-03-15
• Publisher: Wiley-Blackwell

Summary

A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.

Author Biography

Michael P. Clements is a Reader in Economics at the University of Warwick. He is co-author with David Hendry of Forecasting Economic Time Series (1998) and Forecasting Non-stationary Economic Time Series (1999), and has published in academic journals on a variety of time-series econometrics topics.

David F. Hendry, Professor of Economics at Oxford University, is a past President and Honorary Vice-President of the Royal Economic Society, Fellow of the British Academy and Econometric Society, and a Foreign Honorary Member of both the American Academy of Arts and Sciences and the American Economic Association. He has published more than twenty books, as well as over 150 articles and papers on time-series econometrics, econometric modeling, economic forecasting, the history of econometrics, Monte Carlo methods, econometric computing and empirical applications.

Table of Contents

List of Contributors	ix
Preface	xi
Acknowledgments	xiii
An Overview of Economic Forecasting	1	(18)
Michael P. Clements
David F. Hendry
Predictable Uncertainty in Economic Forecasting	19	(26)
Neil R. Ericsson
Density Forecasting: A Survey	45	(24)
Anthony S. Tay
Kenneth F. Wallis
Statistical Approaches to Modeling and Forecasting Time Series	69	(36)
Diego J. Pedregal
Peter C. Young
Forecasting with Structural Time-Series Models	105	(28)
Tommaso Proietti
Judgmental Forecasting	133	(19)
Dilek Onkal-Atay
Mary E. Thomson
Andrew C. Pollock
Forecasting for Policy	152	(27)
Adrian R. Pagan
John Robertson
Forecasting Cointegrated VARMA Processes	179	(27)
Helmut Lutkepohl
Multi-Step Forecasting	206	(16)
R.J. Bhansali
The Rationality and Efficiency of Individuals' Forecasts	222	(19)
Herman O. Stekler
Decision-Based Methods for Forecast Evaluation	241	(27)
M. Hashem Pesaran
Spyros Skouras
Forecast Combination and Encompassing	268	(16)
Paul Newbold
David I. Harvey
Testing Forecast Accuracy	284	(15)
Roberto S. Mariano
Inference About Predictive Ability	299	(23)
Michael W. McCracken
Kenneth D. West
Forecasting Competitions: Their Role in Improving Forecasting Practice and Research	322	(32)
Robert Fildes
Keith Ord
Empirical Comparisons of Inflation Models' Forecast Accuracy	354	(32)
Øyvind Eitrheim
Tore Anders Husebø
Ragnar Nymoen
The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the U.K.	386	(23)
Gonzalo Camba-Mendez
George Kapetanios
Martin R. Weale
Richard J. Smith
Unit-Root Versus Deterministic Representations of Seasonality for Forecasting	409	(23)
Denise R. Osborn
Forecasting with Periodic Autoregressive Time-Series Models	432	(21)
Philip Hans Franses
Richard Paap
Nonlinear Models and Forecasting	453	(32)
Ruey S. Tsay
Forecasting with Smooth Transition Autoregressive Models	485	(25)
Stefan Lundbergh
Timo Terasvirta
Forecasting Financial Variables	510	(29)
Terence C. Mills
Explaining Forecast Failure in Macroeconomics	539	(33)
Michael P. Clements
David F. Hendry
Author Index	572	(11)
Subject Index	583