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Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?

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  • Allen, P. Geoffrey
  • Morzuch, Bernard J.

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  • Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    • Handle: RePEc:eee:intfor:v:22:y:2006:i:3:p:475-492
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    1. Leamer, Edward E, 1973. "Multicollinearity: A Bayesian Interpretation," The Review of Economics and Statistics, MIT Press, vol. 55(3), pages 371-380, August.
    2. Clive W.J. Granger, 2004. "Time Series Analysis, Cointegration, and Applications," American Economic Review, American Economic Association, vol. 94(3), pages 421-425, June.
    3. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
    5. Pagan, Adrian, 1987. "Three Econometric Methodologies: A Critical Appraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 1(1), pages 3-24.
    6. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    7. Layton, Allan P. & Katsuura, Masaki, 2001. "Comparison of regime switching, probit and logit models in dating and forecasting US business cycles," International Journal of Forecasting, Elsevier, vol. 17(3), pages 403-417.
    8. Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004. "On the fit and forecasting performance of New Keynesian models," FRB Atlanta Working Paper 2004-37, Federal Reserve Bank of Atlanta.
    9. Christopher A. Sims, 1993. "A Nine-Variable Probabilistic Macroeconomic Forecasting Model," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 179-212, National Bureau of Economic Research, Inc.
    10. Brunner, Karl & Meltzer, Allan H., 1976. "The Phillips curve," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 1-18, January.
    11. Hendry, David F. & Richard, Jean-Francois, 1982. "On the formulation of empirical models in dynamic econometrics," Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October.
    12. Gordon, Daniel V. & Kerr, William A., 1997. "Was the Babson Prize deserved? An enquiry into an early forecasting model," Economic Modelling, Elsevier, vol. 14(3), pages 417-433, July.
    13. Rudebusch, Glenn D, 2005. "Assessing the Lucas Critique in Monetary Policy Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 245-272, April.
    14. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 769-801, December.
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    Cited by:

    1. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
    2. Stephen G. Hall & George Hondroyiannis & P. A. V. B. Swamy & G. S. Tavlas, 2009. "The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation?," Southern Economic Journal, John Wiley & Sons, vol. 76(2), pages 467-481, October.
    3. Zachary F. Fisher & Younghoon Kim & Barbara L. Fredrickson & Vladas Pipiras, 2022. "Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data," Psychometrika, Springer;The Psychometric Society, vol. 87(2), pages 1-29, June.
    4. Leandro Maciel, 2013. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Palgrave Macmillan Books, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner (ed.), Advances in Financial Risk Management, chapter 11, pages 253-283, Palgrave Macmillan.
    5. Ullrich Heilemann & Herman Stekler, 2010. "Perspectives on Evaluating Macroeconomic Forecasts," Working Papers 2010-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    6. Elena IONAȘCU, 2019. "The Dynamic Relationship Between The Residential Real Estate Markets, Macro – Economy And Institutional Development: Evidence From Eu Countries," EURINT, Centre for European Studies, Alexandru Ioan Cuza University, vol. 6, pages 75-107.
    7. Feuerriegel, Stefan & Gordon, Julius, 2019. "News-based forecasts of macroeconomic indicators: A semantic path model for interpretable predictions," European Journal of Operational Research, Elsevier, vol. 272(1), pages 162-175.

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