Economic forecasting : an Edward Elgar research review / Terence C. Mills, Professor of Applied Statistics and Econometrics, Loughborough University, UK

By:

Mills, Terence C, 1952- [aut]

Contributor(s):

Edward Elgar Publishing [oth]

Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Edward Elgar E-Book ArchivePublisher: Cheltenham, UK : Edward Elgar Publishing Limited, c. 2016Description: 1 Online-Ressource (1,192 p) ; cmISBN:

9781784718923

Subject(s):

LOC classification:

HB3730

DOI: DOI: 10.4337/9781784718923Online resources:

Summary: Recommended readings (Machine generated): KLEIN, Judy L. (1997), Statistical Visions in Time. A History of Time Series Analysis, 1662-1938, Cambridge: Cambridge University Press. -- MORGAN, Mary S. (1990), The History of Econometric Ideas, Cambridge: Cambridge University Press. -- MOORE, Henry L. (1923), Generating Economic Cycles, New York: Macmillan. -- MITCHELL, Wesley C. (1913), Business Cycles and their Causes. Berkeley: California University Memoirs, Volume 3. -- PERSONS, Warren M. (1924a), Some Fundamental Concepts of Statistics, Journal of the American Statistical Association, 19, 1-8. -- PERSONS, Warren M. (1924b), The Problem of Business Forecasting, Pollak Foundation for Economic Research Publications, No. 6, London: Pitman. -- SAMUELSON, Paul A. (1987), Paradise Lost and Refound: The Harvard ABC Barometers, Journal of Portfolio Management, 4, 4-9. -- MARGET, Albert W. (1929), Morgenstern on the Methodology of Economic Forecasting, Journal of Political Economy, 37, 312-339. -- LUCAS, Robert E. (1976), Econometric Policy Evaluation: A Critique, in K. Brunner and A. Meltzer (editors), The Phillips Curve and Labor Markets, Vol. 1 of Carnegie-Rochester Conferences on Public Policy, 19-46, Amsterdam: North-Holland. -- MARRIS, Robin L. (1954), The Position of Economics and Economists in the Government Machine: a Comparative Critique of the United Kingdom and the Netherlands, Economic Journal, 64, 759-783. -- BODKIN, Ronald G., Lawrence R. KLEIN and Kanta MARWAH (1991), A History of Macroeconometric Model-Building, Aldershot: Edward Elgar. -- ADELMAN, Irma and Frank L. ADELMAN (1959), The Dynamic Properties of the Klein-Goldberger Model, Econometrica, 27, 596-625. -- SUITS, Daniel B. (1962), Forecasting and Analysis with an Econometric Model, American Economic Review, 52, 104-132. -- CAIRNCROSS, Sir Alec (1969), Economic Forecasting, Economic Journal, 79, 797-812. -- McNEES, Stephen K. (1982), The Role of Macroeconometric Models in Forecasting and Policy Analysis in the United States, Journal of Forecasting, 1, 37-48. -- BURNS, Terry (1986), The Interpretation and Use of Economic Predictions, Proceedings of the Royal Society of London, A, 407, 103-125. -- WALLIS, Kenneth F. (1989), Macroeconomic Forecasting: A Survey, Economic Journal, 99, 28-61 -- BOX, George E.P. and Gwilym M. JENKINS (1970), Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day. -- COEN, P.G., E.D. GOMME, and Maurice G. KENDALL (1969), Lagged Relationships in Economic Forecasting (with discussion), Journal of the Royal Statistical Society, Series A, 132, 133-163.Summary: BRAY, Jeremy (1971), Dynamic Equations for Economic Forecasting with the GDP - Unemployment Relation and the Growth of GDP in the UK as an Example (with discussion), Journal of the Royal Statistical Society, Series A, 134, 167-227. -- NEWBOLD, Paul and Clive W.J. GRANGER (1974), Experience with Forecasting Univariate Time Series and the Combination of Forecasts (with discussion), Journal of the Royal Statistical Society, Series A, 137, 131-165. -- BOX, George E.P. and Paul NEWBOLD (1971), Some Comments on a Paper by Coen, Gomme and Kendall, Journal of the Royal Statistical Society, Series A, 134, 229-240. -- MAKRIDAKIS, S., A. ANDERSON, R. CARBONE, M. HIBON, R. LEWANDOWSKI, J. NEWTON, E. PARZEN and R. WINKLER (1982), The Accuracy of Extrapolation (Time Series) Methods: Results of a Forecasting Competition, Journal of Forecasting, 1, 111-153. -- MEESE, Richard, and John GEWEKE, (1984), A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series, Journal of Business and Economic Statistics, 2, 191-200. -- HARVEY, Andrew C. and Paul H.J. TODD (1983), Forecasting Economic Time Series with Structural and Box-Jenkins Methods (with discussion), Journal of Business and Economic Statistics, 1, 299-315. -- LITTERMAN, Robert (1986), Forecasting with Bayesian Vector Autoregressions - Five Years of Experience, Journal of Business and Economic Statistics, 4, 25-38. -- KADIYALA, K. Rao and Sune KARLSSON (1993), Forecasting with Generalized Bayesian Vector Autoregressions, Journal of Forecasting, 12, 365-378. -- SIMS, Christopher A. (1980), Macroeconomics and Reality, Econometrica, 48, 1-48. -- GRANGER, Clive W.J. and Jin Luang LIN (1994), Forecasting from Non-linear Models in Practice, Journal of Forecasting, 13, 1-10. -- CHATFIELD, Chris (1997), Forecasting in the 1990s, The Statistician, 46, 461-473. -- ZHANG, Guoqiang, B. Eddy PATUWO and Michael Y. HU (1998), Forecasting with Artificial Neural Networks: The State of the Art, International Journal of Forecasting, 14, 35-62. -- TERÄSVIRTA, Timo, Dick van DIJK and Marcelo C. MEDEIROS (2005), Smooth Transition Autoregressions, Neural Networks, and Linear Models in Forecasting Macroeconomic Time Series: A Re-examination, International Journal of Forecasting, 21, 755-774. -- STOCK, James H. and Mark W. WATSON (2002), Forecasting using Principal Components from a Large Number of Predictors, Journal of the American Statistical Association, 97, 1167-1179. -- FORNI, Mario, Marc HALLIN, Marco LIPPI and Lucrezia REICHLIN (2005), The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting, Journal of the American Statistical Association, 100, 830-839. -- EICKMEIER, Sandra and Christina ZIEGLER (2008), How Successful are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach, Journal of Forecasting, 27, 237-265. -- BAILLIE, Richard T. and Tim BOLLERSLEV (1992), Prediction in Dynamic Models with Time-Dependent Conditional Variances, Journal of Econometrics, 52, 91-113. -- CLEMENTS, Michael P. and David F. HENDRY (1995), Forecasting in Cointegrated Systems, Journal of Applied Econometrics, 10, 127-146. -- CLEMENTS, Michael P. and David F. HENDRY (1999), Forecasting Non-stationary Economic Time Series, Cambridge: Cambridge University Press.Summary: CLEMENTS, Michael P. and David F. HENDRY (2002a), Modelling Methodology and Forecast Failure, Econometrics Journal, 5, 319-344. -- HENDRY, David F. and Grayham E. MIZON (2005), Forecasting in the Presence of Structural Breaks and Policy Regime Shifts, in Donald W.K. Andrews and James H. Stock (editors), Identification and Inference for Econometrics Models: Essays in Honor of Thomas Rotherburg, 480-502, Cambridge: Cambridge University Press. -- HENDRY, David F. (2006), Robustifying Forecasts from Equilibrium-Correction Models, Journal of Econometrics, 135, 399-426. -- CASTLE, Jennifer L., Nicholas W.P. FAWCETT and David F. HENDRY (2010), Forecasting with Equilibrium-Correction Models during Structural Breaks, Journal of Econometrics, 158, 25-36. -- MOORE, Geoffrey H. (1969), Forecasting Short-Term Economic Change, Journal of the American Statistical Association, 64, 1-22. -- ZARNOWITZ, Victor (1979), An Analysis of Annual and Multiperiod Quarterly Forecasts of Aggregate Income, Output, and the Price Level, Journal of Business, 52, 1-33. -- STECKLER, Herman O. (1968), Forecasting with Econometric Models: An Evaluation, Econometrica, 36, 437-463. -- NELSON, Charles R. (1972), The Prediction Performance of the F.R.B.-M.I.T.-PENN model of the U.S. Economy, American Economic Review, 62, 902-917. -- THEIL, Henri (1958), Economic Forecasts and Policy, Amsterdam: North Holland. -- BATES, John M. and Clive W.J. GRANGER (1969), The Combination of Forecasts, Operational Research Quarterly, 20, 451-468. -- GRANGER, Clive W.J. and Paul NEWBOLD (1973), Some Comments on the Evaluation of Economic Forecasts, Applied Economics, 5, 35-47. -- CLEMEN, Robert T. (1989), Combining Forecasts: A Review and Annotated Bibliography, International Journal of Forecasting, 5, 559-583. -- NEWBOLD, Paul and Clive W.J. GRANGER (1974), Experience with Forecasting Univariate Time Series and the Combination of Forecasts (with discussion), Journal of the Royal Statistical Society, Series A, 137, 131-165. -- ELLIOTT, Graham and Allan TIMMERMANN (2005), Optimal Forecast Combination under Regime Switching, International Economic Review, 46, 1081-1102. -- CAPISTRÁN, Carlos and Allan TIMMERMANN (2009), Forecast Combination with Entry and Exit of Experts, Journal of Business and Economic Statistics, 27, 428-440. -- SMITH, Jeremy and Kenneth F. WALLIS (2009), A Simple Explanation of the Forecast Combination Puzzle, Oxford Bulletin of Economics and Statistics, 71, 331-355. -- CLEMENTS, Michael P. and David I. HARVEY (2010), Forecast Encompassing Tests and Probability Forecasts, Journal of Applied Econometrics, 25, 1028-1062. -- HENDRY, David F. and Michael P. CLEMENTS (2004), Pooling of Forecasts, Econometrics Journal, 7, 1-31. -- PESARAN, M. Hashem and Allan TIMMERMANN (2005), Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks, Journal of Econometrics, 129, 183-217.Summary: COOPER, Richard L. (1972), The Predictive Performance of Quarterly Econometric Models of the United States, in B.G. Hickman (editor), Econometric Models of Cyclical Behaviour, No. 36 in National Bureau of Economic Research Studies in Income and Wealth, 813-947, New York: Columbia University Press. -- HOWREY, E. Philip, Lawrence R. KLEIN and Michael D. McCARTHY (1974), Notes on Testing the Predictive Performance of Econometric Models, International Economic Review, 15, 366-383. -- FAIR, Ray C. (1974), An Evaluation of a Short-Run Forecasting Model, International Economic Review, 15, 285-304. -- FAIR, Ray C. (1979), An Analysis of the Accuracy of Four Macroeconometric Models, Journal of Political Economy, 87, 701-718. -- SARGENT, Thomas J. (1976), A Classical Macroeconometric Model for the United States, Journal of Political Economy, 84, 207-237. -- SIMS, Christopher A. (1980), Macroeconomics and Reality, Econometrica, 48, 1-48. -- McNEES, Stephen K. (1986), Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts, Journal of Business and Economic Statistics, 4, 5-15. -- KOLB, R.A. and Herman O. STEKLER (1990), The Lead and Accuracy of Economic Forecasts, Journal of Macroeconomics, 12, 111-123. -- BATCHELOR, Roy A. and Pami DUA (1990), Forecaster Ideology, Forecasting Technique, and the Accuracy of Economic Forecasts, International Journal of Forecasting, 6, 3-10. -- McNEES, Stephen K. (1992), The Uses and Abuses of 'Consensus' Forecasts, Journal of Forecasting, 11, 70-84. -- LEITCH, Gordon and J. Ernest TANNER (1991), Economic Forecast Evaluation: Profits versus Conventional Error Measures, American Economic Review, 81, 580-590. -- GRANGER, Clive W.J. (1969), Prediction with a Generalized Cost of Error Function, Operations Research Quarterly, 20, 199-207. -- DIEBOLD, Francis X. and Robert S. MARIANO (1995), Comparing Forecast Accuracy, Journal of Business and Economic Statistics, 13, 253-263. -- HARVEY, David I., Stephen J. LEYBOURNE and Paul NEWBOLD (1998), Tests for Forecast Encompassing, Journal of Business and Economic Statistics, 16, 254-259. -- GRANGER, Clive W.J. (1996), Can We Improve the Perceived Quality of Economic Forecasts?, International Journal of Forecasting, 11, 455-473. -- WEST, Kenneth D. and Michael W. McCRACKEN (1998), Regression Tests for Predictive Ability, International Economic Review, 39, 817-840. -- CLARK, Todd E. and Michael W. McCRACKEN (2001), Test for Equal Forecast Accuracy and Encompassing for Nested Models, Journal of Econometrics 105, 85-110. -- CLARK, Todd E. and Kenneth D. WEST (2007), Approximately Normal Tests for Equal Predictive Accuracy in Nested Models, Journal of Econometrics, 138, 291-311. -- HANSEN, Peter R. (2005), A Test for Superior Predictive Ability, Journal of Business and Economic Statistics, 23, 365-380.Summary: GIACOMINI, Raffaella and Halbert WHITE (2006), Tests of Conditional Predictive Ability, Econometrica, 74, 1545-1578. -- HANSEN, Peter R. and Asger LUNDE (2005), A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?, Journal of Applied Econometrics, 20, 873-879. -- McCRACKEN, Michael W. and Stephen G. SAPP (2005), Evaluating the Predictive Ability of Exchange Rates using Long Horizon Regressions: Mind your p's and q's!, Journal of Money Credit and Banking, 37, 473-494. -- GIACOMINI, Raffaella and Barbara ROSSI (2009), Detecting and Predicting Forecast Breakdown, Review of Economic Studies, 76, 669-705. -- BURNS, Arthur F. and Wesley C. MITCHELL (1946), Measuring Business Cycles, New York: National Bureau of Economic Research. -- KOOPMANS, Tjalling C. (1947), Measurement without Theory, Review of Economic Statistics, 29, 161-172. -- HENDRY, David F. and Mary S. MORGAN (editors) (1995), The Foundations of Econometric Analysis, Cambridge: Cambridge University Press. -- ALEXANDER, Sidney S. and Herman O. STEKLER (1959), Forecasting Industrial Production - Leading Series versus Autoregression, Journal of Political Economy, 67, 402-409. -- HYMANS, Saul H. (1973), On the Use of Leading Indicators to Predict Cyclical Turning Points, Brookings Papers on Economic Activity, 1973(2), 339-384. -- AUERBACH, Alan J. (1982), The Index of Leading Indicators: 'Measurement Without Theory' Thirty-Five Years Later, Review of Economics and Statistics, 64, 589-595. -- DIEBOLD, Francis X., and Glenn D. RUDEBUSCH (1991), Forecasting Output with the Composite Leading Index: An ex ante Analysis, Journal of the American Statistical Association, 86, 603-610. -- NIEMIRA, Michael P. and Philip A. KLEIN (1994), Forecasting Financial and Economic Cycles, New York: Wiley. -- EMERSON, Rebecca A., and David F. HENDRY (1996), An Evaluation of Forecasting Using Leading Indicators, Journal of Forecasting, 15, 271-291. -- CAMBA-MENDEZ, Gonzalo, George KAPETANIOS, Martin R. WEALE and Ron J. SMITH (2002), The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy and the UK, in Michael P. Clements and David F. Hendry (editors), A Companion to Economic Forecasting, 386-408, Oxford: Blackwell. -- MARCELLINO, Massimiliano (2006), Leading Indicators, in Graham Elliott, Clive W.J. Granger and Allan Timmermann (editors), Handbook of Economic Forecasting, 879-960, Amsterdam: Elsevier. -- COWLES, Arthur, (1933), Can Stock Market Forecasters Forecast?, Econometrica, 1, 309-324. -- KENDALL, Maurice G. (1953), The Analysis of Economic Time Series - Part 1: Prices, Journal of the Royal Statistical Society, Series A, 96, 11-25. -- ROBERTS, Harry V. (1959), Stock-Market 'Patterns' and Financial Analysis: Methodological Suggestions, Journal of Finance, 14, 1-10. -- COOTNER, Paul A. (editor) (1964), The Random Character of Stock Market Prices, Cambridge, MA: MIT Press.Summary: GRANGER, Clive W.J. and Oskar MORGENSTERN (1970), Predictability of Stock Market Prices, Lexington: Heath. -- GRANGER, Clive W.J. (1972), Analysis of Stock Market Price Data, Bulletin of the Institute of Mathematics and Its Applications, 8, 229-232. -- GRANGER, Clive W.J. (1993), Forecasting Stock Market Prices: Lessons for Forecasters, International Journal of Forecasting, 9, 3-18. -- BOLLERSLEV, Tim, Ray Y. CHOU and Kenneth F. KRONER (1992), ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence, Journal of Econometrics, 52, 5-59. -- LAMOUREUX, Christopher G. and William D. LASTRAPES (1993), Forecasting Stock Return Variance: Toward an Understanding of Stochastic Implied Volatilities, Review of Financial Studies, 6, 293-326. -- NOH, Jaesun, Robert F. ENGLE, and Alex KANE (1994), Forecasting Volatility and Option Pricing of the S&P 500 Index, Journal of Derivatives, 2, 17-30. -- KRONER, Kenneth F., Kevin P. KNEAFSEY, and Stijn CLAESSENS (1995), Forecasting Volatility in Commodity Markets, Journal of Forecasting, 14, 77-95. -- WEST, Kenneth D. and Dongchul CHO (1995), The Predictive Ability of Several Models of Exchange Rate Volatility, Journal of Econometrics, 69, 367-391. -- SATCHELL, Steven, and Allan TIMMERMANN (1995), An Assessment of the Economic Value of Non-linear Foreign Exchange Rate Forecasts, Journal of Forecasting, 14, 477-497. -- ANDERSEN, Torben G. and Tim BOLLERSLEV (1998), Answering the Sceptics: Yes, Standard Volatility Models do Provide Accurate Forecasts, International Economic Review, 39, 885-905. -- HANSEN, Peter R. and Asger LUNDE (2005), A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?, Journal of Applied Econometrics, 20, 873-889. -- ANDERSEN, Torben G., Tim BOLLERSLEV, Francis X. DIEBOLD and Paul LABYS (2003), Modelling and Forecasting Realized Volatility, Econometrica, 71, 579-625. -- DEO, Rohit, Clifford HURVICH and Yi LU (2006), Forecasting Realized Volatility using a Long-Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment, Journal of Econometrics, 131, 29-58. -- ANDERSEN, Torben G., Tim BOLLERSLEV and Francis X. DIEBOLD (2007), Roughing it Up: Including Jump Components in the Measurement, Modelling and Forecasting of Return Volatility, Review of Economics and Statistics, 89, 707-720. -- CORSI, Fulvio (2009), A Simple Long Memory Model of Realized Volatility, Journal of Financial Econometrics, 7, 174-196. -- LUCAS, Robert E. and Thomas J. SARGENT (editors) (1981), Rational Expectations and Econometric Practice, London: Allen and Unwin. -- RIPPE, Richard D. and Maurice WILKINSON (1974), Forecasting Accuracy of the McGraw-Hill Anticipatory Data, Journal of the American Statistical Association, 69, 849-858. -- CARLSON, John (1977), A Study of Price Forecasts, Annals of Economic and Social Measurement, 6, 27-56. -- ZARNOWITZ, Victor (1985), Rational Expectations and Macroeconomic Forecasts, Journal of Business and Economic Statistics, 3, 293-311.Summary: DAVIES, Antony and Kajal LAHIRI (1995), A New Framework for Testing Rationality and Measuring Aggregate Shocks using Panel Data, Journal of Econometrics, 68, 205-227. -- BONHAM, Carl S. and Richard H. COHEN (2001), To Aggregate, Pool, or Neither: Testing the Rational Expectations Hypothesis using Survey Data, Journal of Business and Economic Statistics, 19, 278-291. -- CLEMENTS, Michael P., Fred JOUTZ and Herman O. STEKLER (2007), An Evaluation of the Forecasts of the Federal Reserve: A Pooled Approach, Journal of Applied Econometrics, 22, 121-136. -- BOERO, Gianna, Jeremy SMITH and Kenneth F. WALLIS (2008a), Evaluating a Three-Dimensional Panel of Point Forecasts: The Bank of England, International Journal of Forecasting, 24, 354-367. -- BOERO, Gianna, Jeremy SMITH and Kenneth F. WALLIS (2008b), Uncertainty and Disagreement in Economic Prediction: The Bank of England Survey of External Forecasters, Economic Journal, 118, 1107-1127. -- LAHIRI, Kajal and Xuguang SHENG (2010), Measuring Forecast Uncertainty by Disagreement: The Missing Link, Journal of Applied Econometrics, 25, 514-538. -- SMETS, Frank and Rafael WOUTERS (2004), Forecasting with a Bayesian DSGE Model: An Application to the Euro Area, Journal of Common Market Studies, 42, 841-867. -- ADOLFSON, Malin, Jesper LINDÉ and Mattias VILLANE (2007), Forecasting Performance of an Open Economy DSGE Model, Econometric Reviews, 26, 289-328. -- GHENT, Andra C. (2009), Comparing DSGE-VAR Forecasting Models: How big are the Differences?, Journal of Economic Dynamics and Control, 33, 864-882. -- CHRISTOFFERSEN, Peter (1998), Evaluating Interval Forecasts, International Economic Review, 39, 841-862. -- DIEBOLD, Francis X., Todd GUNTHER and Anthony S. TAY (1998), Evaluating Density Forecasts with Application to Financial Risk Management, International Economic Review, 39, 863-883. -- TAY, Anthony S. and Kenneth F. WALLIS (2000), Density Forecasting: A Survey, Journal of Forecasting, 19, 235-254. -- BERKOWITZ, Jeremy (2001), Testing Density Forecasts, with Applications to Risk Management, Journal of Business and Economic Statistics, 19, 465-474. -- CORRADI, Valentina and Norman R. SWANSON (2006), Predictive Density and Conditional Confidence Interval Accuracy Tests, Journal of Econometrics, 127, 187-228. -- AMISANO, Gianna and Raffaella GIACOMINI (2007), Comparing Density Forecasts via Weighted Likelihood Ratio Tests, Journal of Business and Economic Statistics, 25, 177-190. -- HALL, Stephen G. and James MITCHELL (2007), Combining Density Forecasts, International Journal of Forecasting, 23, 1-13. -- EVANS, Martin D.D. (2005), Where Are We Now? Real-Time Estimates of the Macroeconomy, International Journal of Central Banking, 1, 127-175. -- GIANNONE, Domenico, Lucrezia REICHLIN and David SMALL (2008), Nowcasting: The Real-Time Informational Content of Macroeconomic Data, Journal of Monetary Economics, 55, 665-676. -- GHYSELS, Eric, Arthur SINKO and Rossen VALKANOV (2006), MIDAS Regressions: Further Results and New Directions, Econometric Reviews, 26, 53-90.Summary: ARMESTO, Michelle T., Kristie ENGEMANN and Michael OWYANG (2010), Forecasting with Mixed Frequencies, Federal Reserve Bank of St. Louis Review, 9216, 521-536. -- CLEMENTS, Michael P. and Ana B. Galvão (2008), Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth, Journal of Business and Economic Statistics, 26, 546-554. -- MARCELLINO, Massimiliano and Christian SCHUMACHER (2010), Factor-MIDAS for Now - and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP, Oxford Bulletin of Economics and Statistics, 72, 518-550. -- CLEMENTS, Michael P. and David F. HENDRY (editors) (2002b), A Companion to Economic Forecasting, Oxford: Blackwell. -- CLEMENTS, Michael P. and David F. HENDRY (editors) (2011), The Oxford Handbook of Economic Forecasting, Oxford: Oxford University Press. -- CASTLE, Jennifer L. and Neil SHEPHARD (editors) (2009), The Methodology and Practice of Econometrics: A Festschrift in Honour of Professor David Hendry, Oxford: Oxford University Press. -- ELLIOTT, Graham, Clive W.J. GRANGER and Allan TIMMERMANN (editors) (2006), Handbook of Economic Forecasting, Volume 1, Amsterdam: Elsevier. -- ELLIOTT, Graham and Allan TIMMERMANN (editors) (2013), Handbook of Economic Forecasting, Volume 2, Amsterdam: Elsevier. -- Warren M. Persons (1924), 'Some Fundamental Concepts of Statistics', Journal of the American Statistical Association, XIX (145), March, 1-8 -- Paul A. Samuelson (1987), 'Paradise Lost and Refound: The Harvard ABC Barometers', Journal of Portfolio Management, 4, Spring, 4-9 -- Arthur W. Marget (1929), 'Morgenstern on the Methodology of Economic Forecasting', Journal of Political Economy, XXXVII (3), June, 312-39 -- R.L. Marris (1954), 'The Position of Economics and Economists in the Government Machine: A Comparative Critique of the United Kingdom and the Netherlands', Economic Journal, LXIV (256), December, 759-83 -- Daniel B. Suits (1962), 'Forecasting and Analysis with an Econometric Model', American Economic Review, LII (1), March, 104-32 -- Alec Cairncross (1969), 'Economic Forecasting', Economic Journal, LXXIX (316), December, 797-812 -- Stephen K. McNees (1982), 'The Role of Macroeconometric Models in Forecasting and Policy Analysis in the United States', Journal of Forecasting, 1 (1), 37-48 -- Sir Terence Bums (1986), 'The Interpretation and Use of Economic Predictions' and discussion, Proceedings of the Royal Society of London, Series A, 407, 103-25 -- Kenneth F. Wallis (1991), 'Macroeconomic Forecasting: A Survey,' in Andrew J. Oswald (ed.), Surveys in Economics, Volume I, Chapter 2, Oxford: Basil Blackwell Ltd, 48-81 -- P.J. Coen, E.D. Gomme and M.G. Kendall (1969), 'Lagged Relationships in Economic Forecasting' and discussion, Journal of the Royal Statistical Society, Series A, 132 (1), 133-63 -- Jeremy Bray (1971), 'Dynamic Equations for Economic Forecasting with the G.D.P.-Unemployment Relation and the Growth of G.D.R in the United Kingdom as an Example' and discussion, Journal of the Royal Statistical Society, Series A, 134 (2), 167-227.Summary: George E.P. Box and Paul Newbold (1971), 'Some Comments on a Paper of Coen, Gomme and Kendall', Journal of the Royal Statistical Society, Series A, 134 (2), 229-40 -- P. Newbold and C.W.J. Granger (1974), 'Experience with Forecasting Univariate Time Series and the Combination of Forecasts' and discussion, Journal of the Royal Statistical Society, Series A, 137 (2), 131-64 -- Richard Meese and John Geweke (1984), 'A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series', Journal of Business and Economic Statistics, 2 (3), July, 191-200 -- A.C. Harvey and P.H.J. Todd (1983), 'Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study', comments by Craig F. Ansley, David F. Findley and Paul Newbold and 'Response' by A.C. Harvey and P.H.J. Todd, Journal of Business and Economic Statistics, 1 (4), October, 299-315 -- Robert B. Litterman (1986), 'Forecasting With Bayesian Vector Autoregressions - Five Years of Experience', Journal of Business and Economic Statistics, 4(1), January, 25-38 -- K. Rao Kadiyala and Sune Karlsson (1993), 'Forecasting with Generalized Bayesian Vector Autoregressions', Journal of Forecasting, 12, 365-78 -- Jin-Lung Lin and C.W.J. Granger (1994), 'Forecasting from Nonlinear Models in Practice', Journal of Forecasting, 13 (1), January, 1-9 -- Chris Chatfield (1997), 'Forecasting in the 1990s', The Statistician, 46 (4), 461-73 -- Richard T. Baillie and Tim Bollerslev (1992), 'Prediction in Dynamic Models with Time-dependent Conditional Variances', Journal of Econometrics, 52, 91-113 -- Michael P. Clements and David F. Hendry (1993), 'On the Limitations of Comparing Mean Square Forecast Errors', Journal of Forecasting, 12, 617-37 -- Michael P. Clements and David F. Hendry (1995), 'Forecasting in Cointegrated Systems', Journal of Applied Econometrics, 10, 127-46 -- David F. Hendry (1997), 'The Econometrics of Macroeconomic Forecasting', Economic Journal, 107 (444), September, 1330-57 -- Geoffrey H. Moore (1969), 'Forecasting Short-term Economic Change', Journal of the American Statistical Association, 64 (325), March, 1-22 -- Victor Zaraowitz (1979), 'An Analysis of Annual and Multiperiod Quarterly Forecasts of Aggregate Income, Output, and the Price Level', Journal of Business, 52 (1), 1-33 -- H.O. Stekler (1968), 'Forecasting with Econometric Models: An Evaluation', Econometrica, 36 (3-4), July-October, 437-63 -- Charles R. Nelson (1972), 'The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy', American Economic Review, 62, December, 902-17 -- J.M. Bates and C.W.J. Granger (1969), 'The Combination of Forecasts', Operational Research Quarterly, 20 (4), 451-68 -- C.W.J. Granger and P. Newbold (1973), 'Some Comments on the Evaluation of Economic Forecasts', Applied Economics, 5 (1), March, 35-47 -- Robert T. Clemen (1989), 'Combining Forecasts: A Review and Annotated Bibliography', International Journal of Forecasting, 5 (4), 559-83.Summary: E. Philip Howrey, Lawrence R. Klein and Michael D. McCarthy (1974), 'Notes on Testing the Predictive Performance of Econometric Models', International Economic Review, 15 (2), June, 366-83 -- Ray C. Fair (1974), 'An Evaluation of a Short-run Forecasting Model', International Economic Review, 15 (2), June, 285-303 -- Ray C. Fair (1979), 'An Analysis of the Accuracy of Four Macroeconometric Models', Journal of Political Economy, 87 (4), August, 701-18 -- Stephen K. McNees (1986), 'Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts', Journal of Business and Economic Statistics, 4 (1), January, 5-15 -- R.A. Kolb and H.O. Stekler (1990), 'The Lead and Accuracy of Macroeconomic Forecasts', Journal of Macroeconomics, 12 (1), Winter, 111-23 -- Roy Batchelor and Pami Dua (1990), 'Forecaster Ideology, Forecasting Technique, and the Accuracy of Economic Forecasts', International Journal of Forecasting, 6 (1), 3-10 -- Stephen K. McNees (1992), 'The Uses and Abuses of "Consensus" Forecasts', Journal of Forecasting, 11, 703-10 -- Gordon Leitch and J. Ernest Tanner (1991), 'Economic Forecast Evaluation: Profits Versus the Conventional Error Measures', American Economic Review, 81 (3), June, 580-90 -- Francis X. Diebold and Roberto S. Mariano (1995), 'Comparing Predictive Accuracy', Journal of Business and Economic Statistics, 13 (3), July, 253-63 -- David I. Harvey, Stephen J. Leyboume and Paul Newbold (1998), 'Tests for Forecast Encompassing', Journal of Business and Economic Statistics, 16 (2), April, 254-9 -- Clive W.J. Granger (1996), 'Can We Improve the Perceived Quality of Economic Forecasts?', Journal of Applied Econometrics, 11, 455-73 -- S.S. Alexander and H.O. Stekler (1959), 'Forecasting Industrial Production - Leading Series Versus Autoregression', Journal of Political Economy, LXVII (4), August, 402-9 -- Saul H. Hymans (1973), 'On the Use of Leading Indicators to Predict Cyclical Turning Points' and 'Comments and Discussion', Brookings Papers on Economic Activity, 2, 339-84 -- Alan J. Auerbach (1982), 'The Index of Leading Indicators: "Measurement Without Theory", Thirty-five Years Later', Review of Economics and Statistics, LXIV (4), November, 589-95 -- Francis X. Diebold and Glenn D. Rudebusch (1991), 'Forecasting Output With the Composite Leading Index: A Real-time Analysis', Journal of the American Statistical Association, 86 (415), September, 603-10 -- Rebecca A. Emerson and David F. Hendry (1996), 'An Evaluation of Forecasting Using Leading Indicators', Journal of Forecasting 15 (4), July, 271-91 -- Alfred Cowles 3rd (1933), 'Can Stock Market Forecasters Forecast?', Econometrica, 1 (3), July, 309-24 -- Harry V. Roberts (1959), 'Stock-market "Patterns" and Financial Analysis: Methodological Suggestions', Journal of Finance, XIV (1), March, 1-10 -- C.W.J. Granger (1972), 'Analysis of Stock Market Price Data', Bulletin of the Institute of Mathematics and its Applications, 8, August, 229-32.Summary: Clive W.J. Granger (1992), 'Forecasting Stock Market Prices: Lessons for Forecasters', International Journal of Forecasting, 8, 3-13 -- Christopher G. Lamoureux and William D. Lastrapes (1993), 'Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities', Review of Financial Studies, 6 (2), 293-326 -- Jaesun Noh, Robert F. Engle and Alex Kane (1994), 'Forecasting Volatility and Option Prices of the S&P 500 Index', Journal of Derivatives, 2, Fall, 17-30 -- Kenneth F. Kroner, Kevin P. Kneafsey and Stijn Claessens (1995), 'Forecasting Volatility in Commodity Markets', Journal of Forecasting, 14 (2), March, 77-95 -- Kenneth D. West and Dongchul Cho (1995), 'The Predictive Ability of Several Models of Exchange Rate Volatility', Journal of Econometrics, 69, 367-91 -- Steve Satchell and Allan Timmermann (1995), 'An Assessment of the Economic Value of Non-linear Foreign Exchange Rate Forecasts', Journal of Forecasting, 14 (6), 477-97 -- Richard D. Rippe and Maurice Wilkinson (1974), 'Forecasting Accuracy of the McGraw-Hill Anticipatory Data', Journal of the American Statistical Association, 69 (348), December, 849-58 -- John A. Carlson (1977), 'A Study of Price Forecasts', Annals of Economic and Social Measurement, 6 (1), Winter, 27-56 -- Victor Zamowitz (1985), 'Rational Expectations and Macroeconomic Forecasts', Journal of Business and Economic Statistics, 3 (4), October, 293-311.Summary: This authoritative and wide-ranging collection presents over fifty of the most important articles on forecasting - a technique that lies at the heart of economic policy and decision-making. This comprehensive two volume set presents the major papers in macroeconomic forecasting and policy making; time series forecasting; the econometrics of forecasting; forecast evaluation; forecasting with leading indicators; forecasting in finance and economic forecasting using surveysPPN: PPN: 1744973172Package identifier: Produktsigel: ZDB-1-EWE

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