A Companion to Economic Forecasting (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.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 __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. HendryChapter 2 Predictable Uncertainty in Economic Forecasting (pages 19–44): Neil R. EricssonChapter 3 Density Forecasting: A Survey (pages 45–68): Anthony S. Tay and Kenneth F. WallisChapter 4 Statistical Approaches to Modeling and Forecasting Time Series (pages 69–104): Diego J. Pedregal and Peter C. YoungChapter 5 Forecasting with Structural Time?Series Models (pages 105–132): Tommaso ProiettiChapter 6 Judgmental Forecasting (pages 133–151): Dilek Onkal?Atay, Mary E. Thomson and Andrew C. PollockChapter 7 Forecasting for Policy (pages 152–178): Adrian R. Pagan and John RobertsonChapter 8 Forecasting Cointegrated VARMA Processes (pages 179–205): Helmut LutkepohlChapter 9 Multi?Step Forecasting (pages 206–221): R. J. BhansaliChapter 10 The Rationality and Efficiency of Individuals' Forecasts (pages 222–240): Herman O. SteklerChapter 11 Decision?Based Methods for Forecast Evaluation (pages 241–267): M. Hashem Pesaran and Spyros SkourasChapter 12 Forecast Combination and Encompassing (pages 268–283): Paul Newbold and David I. HarveyChapter 13 Testing Forecast Accuracy (pages 284–298): Roberto S. MarianoChapter 14 Inference About Predictive Ability (pages 299–321): Michael W. McCracken and Kenneth D. WestChapter 15 Forecasting Competitions: Their Role in Improving Forecasting Practice and Research (pages 322–353): Robert Fildes and Keith OrdChapter 16 Empirical Comparisons of Inflation Models' Forecast Accuracy (pages 354–385): Oyvind Eitrheim, Tore Anders Husebo and Ragnar NymoenChapter 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. SmithChapter 18 Unit?Root Versus Deterministic Representations of Seasonality for Forecasting (pages 409–431): Denise R. OsbornChapter 19 Forecasting with Periodic Autoregressive Time?Series Models (pages 432–452): Philip Hans Franses and Richard PaapChapter 20 Nonlinear Models and Forecasting (pages 453–484): Ruey S. TsayChapter 21 Forecasting with Smooth Transition Autoregressive Models (pages 485–509): Stefan Lundbergh and Timo TerasvirtaChapter 22 Forecasting Financial Variables (pages 510–538): Terence C. MillsChapter 23 Explaining Forecast Failure in Macroeconomics (pages 539–571): Michael P. Clements and David F. Hendry

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 a range of contrasting approaches and views. Forecasting is a practical venture, so many of the chapters are aimed at practitioners and nonspecialists.

This book surveys a field that has expanded rapidly in recent years. There are no other up-to-date treatments that survey forecasting in a single volume. The Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed. An extensive editorial overview places the contributions in context, and shows their interconnections and commonalities.

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 a range of contrasting approaches and views. Forecasting is a practical venture, so many of the chapters are aimed at practitioners and nonspecialists. This book surveys a field that has expanded rapidly in recent years. There are no other up-to-date treatments that survey forecasting in a single volume. The Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed. An extensive editorial overview places the contributions in context, and shows their interconnections and commonalities Annotation 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