A companion to economic forecasting / edited by Michael P. Clements and David F. Hendry.

Includes bibliographical references and indexes.

Contents List of Contributors Preface Acknowledgments 1 An Overview of Economic Forecasting / Michael P. Clements, David F. Hendry 2 Predictable Uncertainty in Economic Forecasting / Neil R. Ericsson 3 Density Forecasting: A Survey / Anthony S. Tay, Kenneth F. Wallis 4 Statistical Approaches to Modeling and Forecasting Time Series / Diego J. Pedregal, Peter C. Young 5 Forecasting with Structural Time-Series Models / Tommaso Proietti 6 Judgmental Forecasting / Dilek Onkal-Atay, Mary E. Thomson, Andrew C. Pollock 7 Forecasting for Policy / Adrian R. Pagan, John Robertson 8 Forecasting Cointegrated VARMA Processes / Helmut Lutkepohl 9 Multi-Step Forecasting / R. J. Bhansali 10 The Rationality and Efficiency of Individuals' Forecasts / Herman O. Stekler 11 Decision-Based Methods for Forecast Evaluation / M. Hashem Pesaran, Spyros Skouras 12 Forecast Combination and Encompassing / Paul Newbold, David I. Harvey 13 Testing Forecast Accuracy / Roberto S. Mariano 14 Inference About Predictive Ability / Michael W. McCracken, Kenneth D. West 15 Forecasting Competitions: Their Role in Improving Forecasting Practice and Research / Robert Fildes, Keith Ord 16 Empirical Comparisons of Inflation Models' Forecast Accuracy / Oyvind Eitrheim, Tore Anders Husebo, Ragnar Nymoen 17 The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the U.K. [and others] / Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale 18 Unit-Root Versus Deterministic Representations of Seasonality for Forecasting / Denise R. Osborn 19 Forecasting with Periodic Autoregressive Time-Series Models / Philip Hans Franses, Richard Paap 20 Nonlinear Models and Forecasting / Ruey S. Tsay 21 Forecasting with Smooth Transition Autoregressive Models / Stefan Lundbergh, Timo Terasvirta 22 Forecasting Financial Variables / Terence C. Mills 23 Explaining Forecast Failure in Macroeconomics / Michael P. Clements, David F. Hendry Author Index Subject Index