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 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 Series 69 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 Forecasting Practice and Research 322 Robert Fildes and Keith Ord 16 Empirical Comparisons of Inflation Models’ Forecast Accuracy 354 Øyvind Eitrheim, Tore Anders Husebø, and Ragnar Nymoen 17 The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the U.K. 386 Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale, and Richard J. Smith 18 Unit-Root Versus Deterministic Representations of Seasonality for Forecasting 409 Denise R. Osborn 19 Forecasting with Periodic Autoregressive Time-Series Models 432 Philip Hans Franses and Richard Paap 20 Nonlinear Models and Forecasting 453 Ruey S. Tsay 21 Forecasting with Smooth Transition Autoregressive Models 485 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