A Companion to Economic Forecasting [Paperback]

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 241lsB