Ebook: A Companion to Economic Forecasting

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.Content:
Chapter 1 An Overview of Economic Forecasting (pages 1–18): Michael P. Clements and David F. Hendry
Chapter 2 Predictable Uncertainty in Economic Forecasting (pages 19–44): Neil R. Ericsson
Chapter 3 Density Forecasting: A Survey (pages 45–68): Anthony S. Tay and Kenneth F. Wallis
Chapter 4 Statistical Approaches to Modeling and Forecasting Time Series (pages 69–104): Diego J. Pedregal and Peter C. Young
Chapter 5 Forecasting with Structural Time?Series Models (pages 105–132): Tommaso Proietti
Chapter 6 Judgmental Forecasting (pages 133–151): Dilek Onkal?Atay, Mary E. Thomson and Andrew C. Pollock
Chapter 7 Forecasting for Policy (pages 152–178): Adrian R. Pagan and John Robertson
Chapter 8 Forecasting Cointegrated VARMA Processes (pages 179–205): Helmut Lutkepohl
Chapter 9 Multi?Step Forecasting (pages 206–221): R. J. Bhansali
Chapter 10 The Rationality and Efficiency of Individuals' Forecasts (pages 222–240): Herman O. Stekler
Chapter 11 Decision?Based Methods for Forecast Evaluation (pages 241–267): M. Hashem Pesaran and Spyros Skouras
Chapter 12 Forecast Combination and Encompassing (pages 268–283): Paul Newbold and David I. Harvey
Chapter 13 Testing Forecast Accuracy (pages 284–298): Roberto S. Mariano
Chapter 14 Inference About Predictive Ability (pages 299–321): Michael W. McCracken and Kenneth D. West
Chapter 15 Forecasting Competitions: Their Role in Improving Forecasting Practice and Research (pages 322–353): Robert Fildes and Keith Ord
Chapter 16 Empirical Comparisons of Inflation Models' Forecast Accuracy (pages 354–385): Oyvind Eitrheim, Tore Anders Husebo and Ragnar Nymoen
Chapter 17 The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the U.K. (pages 386–408): Gonzalo Camba?Mendez, George Kapetanios, Martin R. Weale and Richard J. Smith
Chapter 18 Unit?Root Versus Deterministic Representations of Seasonality for Forecasting (pages 409–431): Denise R. Osborn
Chapter 19 Forecasting with Periodic Autoregressive Time?Series Models (pages 432–452): Philip Hans Franses and Richard Paap
Chapter 20 Nonlinear Models and Forecasting (pages 453–484): Ruey S. Tsay
Chapter 21 Forecasting with Smooth Transition Autoregressive Models (pages 485–509): Stefan Lundbergh and Timo Terasvirta
Chapter 22 Forecasting Financial Variables (pages 510–538): Terence C. Mills
Chapter 23 Explaining Forecast Failure in Macroeconomics (pages 539–571): Michael P. Clements and David F. Hendry