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A Companion to Economic Forecasting
Michael P. Clements (Edited by), Clements (Author), David F. Hendry (Edited by)
9781405126236, Wiley
Paperback / softback, published 20 September 2004
620 pages
25 x 15 x 1.5 cm, 1.049 kg
"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
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.
List of Contributors ix Preface xi Acknowledgments xiii 1 An Overview of Economic Forecasting 1 2 Predictable Uncertainty in Economic Forecasting 19 3 Density Forecasting: A Survey 45 4 Statistical Approaches to Modeling and Forecasting Time Series 69 5 Forecasting with Structural Time-Series Models 105 6 Judgmental Forecasting 133 7 Forecasting for Policy 152 8 Forecasting Cointegrated VARMA Processes 179 9 Multi-Step Forecasting 206 10 The Rationality and Efficiency of Individuals’ Forecasts 222 11 Decision-Based Methods for Forecast Evaluation 241 12 Forecast Combination and Encompassing 268 13 Testing Forecast Accuracy 284 14 Inference About Predictive Ability 299 15 Forecasting Competitions: Their Role in Improving Forecasting Practice and Research 322 16 Empirical Comparisons of Inflation Models’ Forecast Accuracy 354 17 The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the U.K. 386 18 Unit-Root Versus Deterministic Representations of Seasonality for Forecasting 409 19 Forecasting with Periodic Autoregressive Time-Series Models 432 20 Nonlinear Models and Forecasting 453 21 Forecasting with Smooth Transition Autoregressive Models 485 22 Forecasting Financial Variables 510 23 Explaining Forecast Failure in Macroeconomics 539 Author Index 572 Subject Index 583
Michael P. Clements and David F. Hendry
Neil R. Ericsson
Anthony S. Tay and Kenneth F. Wallis
Diego J. Pedregal and Peter C. Young
Tommaso Proietti
Dilek Önkal-Atay, Mary E. Thomson, and Andrew C. Pollock
Adrian R. Pagan and John Robertson
Helmut Lütkepohl
R.J. Bhansali
Herman O. Stekler
M. Hashem Pesaran and Spyros Skouras
Paul Newbold and David I. Harvey
Roberto S. Mariano
Michael W. McCracken and Kenneth D. West
Robert Fildes and Keith Ord
Øyvind Eitrheim, Tore Anders Husebø, and Ragnar Nymoen
Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale, and Richard J. Smith
Denise R. Osborn
Philip Hans Franses and Richard Paap
Ruey S. Tsay
Stefan Lundbergh and Timo Teräsvirta
Terence C. Mills
Michael P. Clements and David F. Hendry
Subject Areas: Economics [KC]
