A Companion to Economic Forecasting (eBook)

Michael P. Clements is a Reader in Economics at the University of Warwick. He is co-author with David Hendry of Forecasting Economic Time Series (1998) and Forecasting Non-stationary Economic Time Series (1999), and has published in academic journals on a variety of time-series econometrics topics. David F. Hendry, Professor of Economics at Oxford University, is a past President and Honorary Vice-President of the Royal Economic Society, Fellow of the British Academy and Econometric Society, and a Foreign Honorary Member of both the American Academy of Arts and Sciences and the American Economic Association. He has published more than twenty books, as well as over 150 articles and papers on time-series econometrics, econometric modeling, economic forecasting, the history of econometrics, Monte Carlo methods, econometric computing and empirical applications.

List 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