Clements / Hendry A Companion to Economic Forecasting

1. Auflage 2008
ISBN: 978-1-4051-7191-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 616 Seiten, E-Book

Reihe: Blackwell Companions to Contemporary Economics

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.

Autoren/Hrsg.

Clements, Michael P.

Hendry, David F.

Inhaltsverzeichnis

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 Series69
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 ForecastingPractice and Research 322
Robert Fildes and Keith Ord
16 Empirical Comparisons of Inflation Models' ForecastAccuracy 354
Øyvind Eitrheim, Tore Anders Husebø, and RagnarNymoen
17 The Forecasting Performance of the OECD Composite LeadingIndicators for France, Germany, Italy, and the U.K. 386
Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale, andRichard J. Smith
18 Unit-Root Versus Deterministic Representations of Seasonalityfor Forecasting 409
Denise R. Osborn
19 Forecasting with Periodic Autoregressive Time-Series Models432
Philip Hans Franses and Richard Paap
20 Nonlinear Models and Forecasting 453
Ruey S. Tsay
21 Forecasting with Smooth Transition Autoregressive Models485
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

Über Autor(innen)

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.