A Companion to Economic Forecasting

Michael P. Clements is Research Fellow in Economics at the University of Warwick. He is co-author with David Hendry of Forecasting Economic Time Series and Forecasting Non-stationary Economic Time Series, and has published in academic journals on a variety of time-series econometrics topics, including econometric modelling, forecast evaluation, density forecasts, non-linear time series models, seasonality, and bootstrapping. David F. Hendry. of Oxford University, is a past President and Honoray Vice-President, 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 a dozen books, including Dynamic Econometrics and Statistical Foundations of Econometric Modelling, and over 100 articles and papers on time-series econometrics, econometric modelling, economic forecasting, history of econometrics, Monte Carlo methods, and empirical applications.

List of ContributorsPrefaceAcknowledgments1. An Overview of Economic Forecasting: Michael P. Clements and David H. Hendry 2. Predictable Uncertainty in Economic Forecasting: Neil R. Ericsson3. Density Forecasting: A Survey: Anthony S. Tay and Kenneth F. Wallis 4. Statistical Approaches to Modelling and Forecasting Time Series: Diego J. Pedregal and Peter C. Young5. Forecasting with Structural Time-Series Models: Tommaso Proietti 6. Judgemental Forecasting: Dilek Onkal-Atay, Mary E. Thomson and Andrew C. Pollock7. Forecasting for Policy: Adrian R. Pagan and John Robertson8. Forecasting Cointegrated VARMA Processes: Helmut Lutkepohl9. Multi-Step Forecasting: Raj Bhansali10. The Rationality and Efficiency of Individuals' Forecasts: Herman O. Stekler11. Decision-Theoretic Methods for Forecast Evaluation: M. Hashem Pesaran and Spyros Skouros12. Forecast Combination and Encompassing: Paul Newbold and David I. Harvey13. Testing Forecast Accuracy: Roberto S. Mariano14. Inference About Predictive Ability: Michael W. McCracken and Kenneth D. West15. Forecasting Competitions: Their Role in Improving Forecasting Practice and Research: Robert Fildes and Keith Ord16. Empirical Comparisons of Inflation Models' Forecast Accuracy: Oyvind Eitrheim, Tore Anders Husebo, and Ragnar Nymoen17. The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the UK: Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale and Richard J. Smith 18. Unit Root Versus Deterministic Representations of Seasonality for Forecasting: Denise R. Osborn19. Forecasting with Periodic Autoregressive Time Series Models: Philip Hans Franses and Richard Paap 20. Non-Linear Models and Forecasting: Ruey S. Tsay 21. Forecasting with Smooth Transition Autoregressive Models: Stefan Lundbergh and Timo Terasvirta22. Forecasting Financial Variables: Terence C. Mills 23. Explaining Forecast Failure in Macroeconomics: Michael P. Clements and David F. Hendry Author IndexSubject Index