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.

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

An Overview of Economic Forecasting

1

(18)

Michael P. Clements

David F. Hendry

Predictable Uncertainty in Economic Forecasting

19

(26)

Neil R. Ericsson

Density Forecasting: A Survey

45

(24)

Anthony S. Tay

Kenneth F. Wallis

Statistical Approaches to Modeling and Forecasting Time Series

69

(36)

Diego J. Pedregal

Peter C. Young

Forecasting with Structural Time-Series Models

105

(28)

Tommaso Proietti

Judgmental Forecasting

133

(19)

Dilek Onkal-Atay

Mary E. Thomson

Andrew C. Pollock

Forecasting for Policy

152

(27)

Adrian R. Pagan

John Robertson

Forecasting Cointegrated VARMA Processes

179

(27)

Helmut Lutkepohl

Multi-Step Forecasting

206

(16)

R.J. Bhansali

The Rationality and Efficiency of Individuals' Forecasts

222

(19)

Herman O. Stekler

Decision-Based Methods for Forecast Evaluation

241

(27)

M. Hashem Pesaran

Spyros Skouras

Forecast Combination and Encompassing

268

(16)

Paul Newbold

David I. Harvey

Testing Forecast Accuracy

284

(15)

Roberto S. Mariano

Inference About Predictive Ability

299

(23)

Michael W. McCracken

Kenneth D. West

Forecasting Competitions: Their Role in Improving Forecasting Practice and Research

322

(32)

Robert Fildes

Keith Ord

Empirical Comparisons of Inflation Models' Forecast Accuracy

354

(32)

Øyvind Eitrheim

Tore Anders Husebø

Ragnar Nymoen

The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the U.K.

386

(23)

Gonzalo Camba-Mendez

George Kapetanios

Martin R. Weale

Richard J. Smith

Unit-Root Versus Deterministic Representations of Seasonality for Forecasting

409

(23)

Denise R. Osborn

Forecasting with Periodic Autoregressive Time-Series Models

432

(21)

Philip Hans Franses

Richard Paap

Nonlinear Models and Forecasting

453

(32)

Ruey S. Tsay

Forecasting with Smooth Transition Autoregressive Models

485

(25)

Stefan Lundbergh

Timo Terasvirta

Forecasting Financial Variables

510

(29)

Terence C. Mills

Explaining Forecast Failure in Macroeconomics

539

(33)

Michael P. Clements

David F. Hendry

Author Index

572

(11)

Subject Index

583

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A Companion to Economic Forecasting

Summary

Author Biography

Table of Contents

Supplemental Materials