A Companion to Economic Forecasting

by Editor: Michael P. Clements (University of Warwick); Editor: David F. Hendry (Oxford University)

• ISBN13: 9781405171915
• ISBN10: 140517191X
• Format: eBook
• Copyright: 2008-04-01
• 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.

Table of Contents

List of Contributors. Preface. Acknowledgments. 1. An Overview of Economic Forecasting: Michael P. Clements and David H. Hendry. 2. Predictable Uncertainty in Economic Forecasting: Neil R. Ericsson. 3. Density Forecasting: A Survey: Anthony S. Tay and Kenneth F. Wallis. 4. Statistical Approaches to Modelling and Forecasting Time Series: Diego J. Pedregal and Peter C. Young. 5. Forecasting with Structural Time-Series Models: Tommaso Proietti. 6. Judgemental Forecasting: Dilek Önkal-Atay, Mary E. Thomson and Andrew C. Pollock. 7. Forecasting for Policy: Adrian R. Pagan and John Robertson. 8. Forecasting Cointegrated VARMA Processes: Helmut L8tkepohl. 9. Multi-Step Forecasting: Raj Bhansali. 10. The Rationality and Efficiency of Individuals' Forecasts: Herman O. Stekler. 11. Decision-Theoretic Methods for Forecast Evaluation: M. Hashem Pesaran and Spyros Skouros. 12. Forecast Combination and Encompassing: Paul Newbold and David I. Harvey. 13. Testing Forecast Accuracy: Roberto S. Mariano. 14. Inference About Predictive Ability: Michael W. McCracken and Kenneth D. West. 15. Forecasting Competitions: Their Role in Improving Forecasting Practice and Research: Robert Fildes and Keith Ord. 16. Empirical Comparisons of Inflation Models' Forecast Accuracy: Øyvind Eitrheim, Tore Anders Husebø, and Ragnar Nymoen. 17. The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the UK: Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale and Richard J. Smith. 18. Unit Root Versus Deterministic Representations of Seasonality for Forecasting: Denise R. Osborn. 19. Forecasting with Periodic Autoregressive Time Series Models: Philip Hans Franses and Richard Paap. 20. Non-Linear Models and Forecasting: Ruey S. Tsay. 21. Forecasting with Smooth Transition Autoregressive Models: Stefan Lundbergh and Timo Ter+svirta. 22. Forecasting Financial Variables: Terence C. Mills. 23. Explaining Forecast Failure in Macroeconomics: Michael P. Clements and David F. Hendry. Author Index. Subject Index