Forecasting

VOLUME 1
PART ONE: SMOOTHING PHILOSOPHY
Exponential Smoothing: The State of the Art - Everette Gardner
Exponential Smoothing With an Adaptive Response Rate - D.W. Trigg and A.G. Leach
Forecasting Trends in Time Series - Everette Gardner and Ed McKenzie
Integration with Statistical Approaches
A New Approach to Linear Filtering and Prediction Problems - Rudolf Kalman
Understanding the Kalman Filter - Richard Meinhold and Nozer Singpurwalla
Bayesian Forecasting - P.J. Harrison and C.F. Stevens
A Unified View of Statistical Forecasting Procedures - Andrew Harvey
Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models - Keith Ord, Anne Koehler and Ralph Snyder
Univariate Analyses of Time Series
Autoregressive Integrated Moving Average Models
Box-Jenkins Seasonal Forecasting: Problems in a Case Study with Discussion - Chris Chatfield and David Prothero
Outliers, Level Shifts, and Variance Changes in Time Series - Ruey Tsay
Unit Root Testing
Distribution of the Estimators for Autoregressive Time Series with a Unit Root - David Dickey and Wayne Fuller
Trends and Random-Walks in Macroeconomic Time Series: Some Evidence and Implications - Charles Nelson and Charles Plosser
Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series have a Unit Root? - Denis Kwiatkowski, Peter Phillips, Peter Schmidt and Yongcheol
Efficient Tests for an Autoregressive Unit Root - Graham Elliott, Thomas Rothenberg and James Stock
VOLUME 2
Psychologically-Based Approaches
Formalising Judgment
The Delphi Technique as a Forecasting Tool: Issues and Analysis - Gene Rowe and George Wright
Using Segmentation to Improve Sales Forecasts based on Purchase Intent: Which "Intenders" Actually Buy? - Vicki Morwitz and David Schmittlein
Bootstrapping (Judgmental Meaning)
Clinical Versus Actuarial Judgment - Robyn Dawes, David Faust and Paul Meehl
Heuristics and Biases in Forecasting
Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk-Taking - Daniel Kahneman and Dan Lovallo
Judgment under Uncertainty: Heuristics and Biases - Amos Tversky and Daniel Kahneman
Interaction of Judgmental and Statistical Forecasting Methods: Issues and Analysis - Derek Bunn and George Wright
Improving Judgment
Database Models and Managerial Intuition - 50% Model + 50% Manager - Robert Blattberg and Stephen Hoch
Taking Advice: Accepting Help, Improving Judgment, and Sharing Responsibility - Nigel Harvey and Ilan Fischer
The Accuracy of Combining Judgmental and Statistical Forecasts - Michael Lawrence, Robert Edmundson and Marcus O′Connor
PART TWO: ECONOMETRICS: INTRODUCTION
Commentary on the State of the Art
Econometrics: Alchemy or Science? - David Hendry
Can We Improve the Perceived Quality of Economic Forecasts? - Clive Granger
Vector Autoregressions
Forecasting With Bayesian Vector Autoregressions: Five Years of Experience - Robert Litterman
Cointegration (Merging of TS and Econometrics?)
Spurious Regressions in Econometrics - Clive Granger and Paul Newbold
Econometric Modeling of the Aggregate Time Series Relationship between Consumers′ Expenditure and Income in the UK - James Davidson, David Hendry, Frank Srba and Stephen Yeo
Cointegration and Error Correction: Representation, Estimation, and Testing - Robert Engle and Clive Granger
Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money - Soren Johansen and Katarina Juselius
VOLUME THREE
Computer-Intensive Methods
How Effective Are Neural Networks at Forecasting and Prediction? A Review and Evaluation - Monica Adya and Fred Collopy
Some Recent Developments in Nonlinear Time-Series Modeling, Testing, and Forecasting - Jan Degooijer and Kuldeep Kumar
Forecasting With Artificial Neural Networks: The State of the Art - Guoqiang Zhang, B. Eddy Patuwo and Michael Hu
Neural Network Models for Time Series Forecasts - Tim Hill, Marcus O′ Connor and William Remus
Neural Networks for Short-Term Load Forecasting: A Review and Evaluation - Henrique Steinherz Hippert, Carlos Eduardo Pedreira and Reinaldo Castro Souza
Measurement of Forecast Errors
Evaluation of Extrapolative Forecasting Methods: Results of a Survey of Academicians and Practitioners - Robert Carbone and J. Scott Armstrong
Error Measures for Generalizing About Forecasting Methods: Empirical Comparisons - J. Scott Armstrong and Fred Collopy
Diagnostic Verification of Probability Forecasts - Allan Murphy and Robert Winkler
Comparing and Selecting
Comparing Predictive Accuracy - Francis Diebold and Roberto Mariano
Part Three
Forecasting Competitions
A Comparison of Forecasting Techniques on Economic Time Series - David Reid
Experience with Forecasting Univariate Time Series and the Combination of Forecasts - Paul Newbold and Clive Granger
The Accuracy of Extrapolation (Time-Series) Methods - Results of a Forecasting Competition - Spyros Makridakis et al
The Impact of Empirical Accuracy Studies On Time-Series Analysis and Forecasting - Robert Fildes & Spyros Makridakis
Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample? - Richard Meese and Kenneth Rogoff
VOLUME 4
Combining and Encompassing
The Combination of Forecasts - John Bates and Clive Granger
Combining Forecasts: A Review and Annotated-Bibliography - Robert Clemen
Improved Methods of Combining Forecasts - Clive Granger and R. Ramanathan
Econometric Evaluation of Linear Macro-Economic Models - Yock Chong and David Hendry
Forecasting Distributions
Calculating Interval Forecasts - Chris Chatfield
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation - Robert Engle
Modeling and Forecasting Realized Volatility - Torben Andersen, Tim Bollerslev, Francis Diebold and Paul Labys
Forecasting Volatility in Financial Markets: A Review - Ser-Huang Poon and Clive Granger
Forecasting Practice
Familiarity, Application, and Performance of Sales Forecasting Techniques - John Mentzer and James Cox
Sales Forecasting Practices: Results from a United States Survey - Douglas Dalrymple
The Organization and Improvement of Market Forecasting - Robert Fildes and Robert Hastings
Planning and Strategy
Forecasting and Planning: An Evaluation - Robin Hogarth and Spyros Makridakis
When and How to Use Scenario Planning: A Heuristic Approach with Illustration - Paul Schoemaker
Part Four
Operations
Forecasting and Stock Control for Intermittent Demand - J.D. Croston
Forecasting Systems for Production and Inventory Control - Robert Fildes and Charles Beard
Quantifying the Bullwhip Effect in a Simple Supply Chain: The Impact of Forecasting, Lead Times, and Information - Frank Chen, Zvi Drezner, Jennifer Ryan and David Simchi-Levi
VOLUME 5
Marketing
A New Product Growth Model for Consumer Durables - Frank Bass
Forecasting New Product Penetration with Flexible Substitution Patterns - David Brownstone and Kenneth Train
Modeling Consumer Choice among SKUs - Peter Fader and Bruce Hardie
Premarket Forecasting Really New Products - Glen Urban, Bruce Weinberg and John Hauser
Technology Forecasting
A Diffusion Theory Model of Adoption and Substitution for Successive Generations of High-Technology Products - John Norton and Frank Bass
Macroeconomic Forecasting
Introduction to Leading Economic Indicators: New Approaches and Forecasting Records - Kajal Lahiri and Geoffrey Moore
Forecasting Accuracy of Alternative Techniques: A Comparison of United-States Macroeconomic Forecasts - S.K. McNees
Forecasting Output with the Composite Leading Index: A Real-Time Analysis - Francis Diebold and Glenn Rudebusch
Macroeconomic Forecasting: A Survey - Kenneth Wallis
Macroeconomic Forecasting Using Diffusion Indexes - James Stock and Mark Watson
Rational Expectations and Macroeconomic Forecasts - V. Zarnowitz
Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates - Chung-ki Min and Arnold Zellner
Accounting and Finance
A Survey of Credit and Behavioural Scoring: Forecasting Financial Risk of Lending to Consumers - Lyn Thomas
Financial Ratios, Discriminant Analysis and Prediction of Corporate Bankruptcy - Edward Altman
Bankruptcy Prediction Using Neural Networks - Rick Wilson and Ramesh Sharda
Predictability of Stock Returns: Robustness and Economic Significance - M. Hashem Pesaran and Allan Timmermann
Analysts Forecasts as Earnings Expectations - Patricia O′Brien