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.

List of Contributors ixPreface xiAcknowledgments xiii1 An Overview of Economic Forecasting 1Michael P. Clements and David F. Hendry2 Predictable Uncertainty in Economic Forecasting 19Neil R. Ericsson3 Density Forecasting: A Survey 45Anthony S. Tay and Kenneth F. Wallis4 Statistical Approaches to Modeling and Forecasting Time Series69Diego J. Pedregal and Peter C. Young5 Forecasting with Structural Time-Series Models 105Tommaso Proietti6 Judgmental Forecasting 133Dilek Önkal-Atay, Mary E. Thomson, and Andrew C.Pollock7 Forecasting for Policy 152Adrian R. Pagan and John Robertson8 Forecasting Cointegrated VARMA Processes 179Helmut Lütkepohl9 Multi-Step Forecasting 206R.J. Bhansali10 The Rationality and Efficiency of Individuals'Forecasts 222Herman O. Stekler11 Decision-Based Methods for Forecast Evaluation 241M. Hashem Pesaran and Spyros Skouras12 Forecast Combination and Encompassing 268Paul Newbold and David I. Harvey13 Testing Forecast Accuracy 284Roberto S. Mariano14 Inference About Predictive Ability 299Michael W. McCracken and Kenneth D. West15 Forecasting Competitions: Their Role in Improving ForecastingPractice and Research 322Robert Fildes and Keith Ord16 Empirical Comparisons of Inflation Models' ForecastAccuracy 354Øyvind Eitrheim, Tore Anders Husebø, and RagnarNymoen17 The Forecasting Performance of the OECD Composite LeadingIndicators for France, Germany, Italy, and the U.K. 386Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale, andRichard J. Smith18 Unit-Root Versus Deterministic Representations of Seasonalityfor Forecasting 409Denise R. Osborn19 Forecasting with Periodic Autoregressive Time-Series Models432Philip Hans Franses and Richard Paap20 Nonlinear Models and Forecasting 453Ruey S. Tsay21 Forecasting with Smooth Transition Autoregressive Models485Stefan Lundbergh and Timo Teräsvirta22 Forecasting Financial Variables 510Terence C. Mills23 Explaining Forecast Failure in Macroeconomics 539Michael P. Clements and David F. HendryAuthor Index 572Subject Index 583