Economic Forecasting in a Changing World
This article explains the basis for a theory of economic forecasting developed over the past decade by the authors. The research has resulted in numerous articles in academic journals, two monographs, Forecasting Economic Time Series, 1998, Cambridge University Press, and Forecasting Nonstationary Economic Time Series, 1999, MIT Press, and three edited volumes, Understanding Economic Forecasts, 2001, MIT Press, A Companion to Economic Forecasting, 2002, Blackwells, and the Oxford Bulletin of Economics and Statistics, 2005. The aim here is to provide an accessible, non-technical, account of the main ideas. The interested reader is referred to the monographs for derivations, simulation evidence, and further empirical illustrations, which in turn reference the original articles and related material, and provide bibliographic perspective.
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Volume (Year): 3 (2008)
Issue (Month): 2 (October)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Makridakis, Spyros & Hibon, Michele, 2000. "The M3-Competition: results, conclusions and implications," International Journal of Forecasting, Elsevier, vol. 16(4), pages 451-476.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-135, April.
- David F. Hendry & Michael P. Clements, 2004.
"Pooling of forecasts,"
Royal Economic Society, vol. 7(1), pages 1-31, 06.
- Hendry, David F, 1995. "Econometrics and Business Cycle Empirics," Economic Journal, Royal Economic Society, vol. 105(433), pages 1622-1636, November.
- Clements,Michael & Hendry,David, 1998.
"Forecasting Economic Time Series,"
Cambridge University Press, number 9780521634809, December.
- David F. Hendry & Katarina Juselius, 2001.
"Explaining Cointegration Analysis: Part II,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 1), pages 75-120.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- David F. Hendry & Bent Nielsen, 2007. "Preface to Econometric Modeling: A Likelihood Approach," Introductory Chapters, in: Econometric Modeling: A Likelihood Approach Princeton University Press.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-144, April.
- David F. Hendry & Bent Nielsen, 2007. "The Bernoulli model, from Econometric Modeling: A Likelihood Approach," Introductory Chapters, in: Econometric Modeling: A Likelihood Approach Princeton University Press.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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