A Companion to Economic Forecasting

Copyright © 2002, 2004 by Blackwell Publishing Ltd

A Companion to Economic Forecasting

Editor(s): Michael P. Clements, David F. Hendry

Published Online: 30 NOV 2007

Print ISBN: 9780631215691

Online ISBN: 9780470996430

DOI: 10.1002/9780470996430

About this Book

Product Information

About The Product

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

    1. You have free access to this content
      Frontmatter (pages i–xiii)

    2. Chapter 1

      An Overview of Economic Forecasting (pages 1–18)

      Michael P. Clements and David F. Hendry

    3. Chapter 2

      Predictable Uncertainty in Economic Forecasting (pages 19–44)

      Neil R. Ericsson

    4. Chapter 3

      Density Forecasting: A Survey (pages 45–68)

      Anthony S. Tay and Kenneth F. Wallis

    5. Chapter 4

      Statistical Approaches to Modeling and Forecasting Time Series (pages 69–104)

      Diego J. Pedregal and Peter C. Young

    6. Chapter 5

      Forecasting with Structural Time-Series Models (pages 105–132)

      Tommaso Proietti

    7. Chapter 6

      Judgmental Forecasting (pages 133–151)

      Dilek Önkal-Atay, Mary E. Thomson and Andrew C. Pollock

    8. Chapter 7

      Forecasting for Policy (pages 152–178)

      Adrian R. Pagan and John Robertson

    9. Chapter 8

      Forecasting Cointegrated VARMA Processes (pages 179–205)

      Helmut Lütkepohl

    10. Chapter 9

      Multi-Step Forecasting (pages 206–221)

      R. J. Bhansali

    11. Chapter 10

      The Rationality and Efficiency of Individuals' Forecasts (pages 222–240)

      Herman O. Stekler

    12. Chapter 11

      Decision-Based Methods for Forecast Evaluation (pages 241–267)

      M. Hashem Pesaran and Spyros Skouras

    13. Chapter 12

      Forecast Combination and Encompassing (pages 268–283)

      Paul Newbold and David I. Harvey

    14. Chapter 13

      Testing Forecast Accuracy (pages 284–298)

      Roberto S. Mariano

    15. Chapter 14

      Inference About Predictive Ability (pages 299–321)

      Michael W. McCracken and Kenneth D. West

    16. Chapter 15

      Forecasting Competitions: Their Role in Improving Forecasting Practice and Research (pages 322–353)

      Robert Fildes and Keith Ord

    17. Chapter 16

      Empirical Comparisons of Inflation Models' Forecast Accuracy (pages 354–385)

      Øyvind Eitrheim, Tore Anders Husebø and Ragnar Nymoen

    18. Chapter 17

      The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the U.K. (pages 386–408)

      Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale and Richard J. Smith

    19. Chapter 18

      Unit-Root Versus Deterministic Representations of Seasonality for Forecasting (pages 409–431)

      Denise R. Osborn

    20. Chapter 19

      Forecasting with Periodic Autoregressive Time-Series Models (pages 432–452)

      Philip Hans Franses and Richard Paap

    21. Chapter 20

      Nonlinear Models and Forecasting (pages 453–484)

      Ruey S. Tsay

    22. Chapter 21

      Forecasting with Smooth Transition Autoregressive Models (pages 485–509)

      Stefan Lundbergh and Timo Teräsvirta

    23. Chapter 22

      Forecasting Financial Variables (pages 510–538)

      Terence C. Mills

    24. Chapter 23

      Explaining Forecast Failure in Macroeconomics (pages 539–571)

      Michael P. Clements and David F. Hendry

    25. You have free access to this content
      Author Index (pages 572–582)

    26. You have free access to this content
      Subject Index (pages 583–597)

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