Description
Book SynopsisA 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.
Trade Review"
A Companion to Economic Forecasting offers an insightful and authoritative overview of the diverse issues, methods, and applications falling under the broad umbrella of economic and financial forecasting. It belongs on every practitioner's bookshelf, and on every student's reading list."
Francis X. Diebold, University of Pennsylvania "Economic forecasting methods, models, applications, evaluation, and diagnostics, all in one encompassing volume by leaders in the field. This collection of lucid chapters defines where economic forecasting is today. An invaluable addition to the library of anyone working with economic data." Charles Nelson, University of Washington
Table of ContentsList 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
