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25 Years of IIF Time Series Forecasting: A Selective Review

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  • Jan G. De Gooijer
  • Rob J. Hyndman

    ()

Abstract

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these journals concerned time series forecasting. We also review highly influential works on time series forecasting that have been published elsewhere during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field.

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File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2005/wp12-05.pdf
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Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 12/05.

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Length: 39 pages
Date of creation: May 2005
Date of revision:
Handle: RePEc:msh:ebswps:2005-12

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Related research

Keywords: Accuracy measures; ARCH model; ARIMA model; Combining; Count data; Densities; Exponential smoothing; Kalman Filter; Long memory; Multivariate; Neural nets; Nonlinearity; Prediction intervals; Regime switching models; Robustness; Seasonality; State space; Structural models; Transfer function; Univariate; VAR.;

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Cited by:
  1. Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  2. Katharina Hampel & Marcus Kunz & Norbert Schanne & Ruediger Wapler & Antje Weyh, 2006. "Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation," ERSA conference papers ersa06p196, European Regional Science Association.

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