# Elsevier

# International Journal of Forecasting

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Rob J Hyndman
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**Series handle:**repec:eee:intfor

**ISSN:**0169-2070

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### 2006, Volume 22, Issue 2

**373-393 A framework for decomposing shocks and measuring volatilities derived from multi-dimensional panel data of survey forecasts***by*Davies, Antony**395-401 Forecast accuracy and product differentiation of Japanese Institutional Forecasters***by*Ashiya, Masahiro**403-405 Ian T. Jolliffe and David B. Stephenson, Forecast Verification: A Practitioner's Guide in Atmospheric Science, John Wiley and Sons, Chichester (2003) ISBN 0-471-49759-2***by*Stevenson, Maxwell**405-407 Hans Levenbach and James P. Cleary, Forecasting: Practice and process for demand management, Thomson, Duxbury, Belmont (2006) ISBN 0-534-26268-6 Hardcover (software enclosed), 622 pp.***by*Syntetos, Aris A.**407-408 Paul D. McNelis, Neural networks in finance--gaining predictive edge in the market, Elsevier Academic Press (2005) ISBN 0-12-485967-4 hardcover, 243 pages***by*Van Dijk, Dick**408-409 Arnold Zellner, Statistics, Econometrics and Forecasting. The Stone Lectures in Economics, Cambridge University Press (2004) 163 pp, ISBN 0 521 54044 5 (paperback), $24.99, ISBN 0 521 83287 X (hardback), $70***by*Oller, Lars-Erik**409-410 Ray C. Fair, Estimating How the Economy Works, Harvard University Press, Cambridge MA, USA (2004) ISBN 0674-01546-0 295 pp., $65***by*Stekler, H.O.

### 2006, Volume 22, Issue 1

**1-16 A comparison of univariate methods for forecasting electricity demand up to a day ahead***by*Taylor, James W. & de Menezes, Lilian M. & McSharry, Patrick E.**17-28 Forecasting electricity demand using generalized long memory***by*Soares, Lacir Jorge & Souza, Leonardo Rocha**29-42 Density forecasting for weather derivative pricing***by*Taylor, James W. & Buizza, Roberto**43-56 Short-term prediction of wind energy production***by*Sanchez, Ismael**57-71 Time varying parameter and fixed parameter linear AIDS: An application to tourism demand forecasting***by*Li, Gang & Song, Haiyan & Witt, Stephen F.**73-89 On a threshold heteroscedastic model***by*Chen, Cathy W.S. & So, Mike K.P.**91-107 MCMC methods for comparing stochastic volatility and GARCH models***by*Gerlach, Richard & Tuyl, Frank**109-123 The relationships between sentiment, returns and volatility***by*Wang, Yaw-Huei & Keswani, Aneel & Taylor, Stephen J.**125-135 When do forecasters disagree? An assessment of German growth and inflation forecast dispersion***by*Dopke, Jorg & Fritsche, Ulrich**137-151 Are there any reliable leading indicators for US inflation and GDP growth?***by*Banerjee, Anindya & Marcellino, Massimiliano**153-168 Predictability of large future changes in major financial indices***by*Sornette, Didier & Zhou, Wei-Xing**169-180 Effect of tapering on accuracy of forecasts made with stable estimators of vector autoregressive processes***by*Zhou, YanYan & Roy, Anindya**181-194 Modulated cycles, an approach to modelling periodic components from rapidly sampled data***by*Pedregal, Diego J. & Young, Peter C.**195-196 Nong Ye, Editor, The Handbook of Data Mining, Lawrence Earlbaum Associates (2003) US$149.95, 720 pages***by*McCullough, B.D.**196-198 Michael P. Clements, Evaluating Econometric Forecasts of Economic and Financial Variables, Palgrave Texts in Econometrics, 2005, 173 pp, ISBN 1-4039-0173-2 (paperback), [UK pound]19.99, ISBN 1-4039-0172-4 (hardback), [UK pound]50***by*Oller, Lars-Erik**198-199 Gunnar, Bardsen, Oyvind, Eitrheim, Eilev S. Jansen, Ragnar Nymoen (Eds.), The Econometrics of Macroeconomic Modelling, Published in the series "Advanced Texts in Econometrics" Oxford University Press, Oxford 2005, 360pp., ISBN: 0-19-924650-5, Paperback, [UK pound]29.99***by*Milas, Costas**201-201 Comments on the attribution of an intermittent demand estimator***by*Syntetos, Aris A. & Boylan, John E.

### 2005, Volume 21, Issue 4

**623-625 Introduction to nonlinearities, business cycles, and forecasting***by*Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther**627-645 The Marshallian macroeconomic model: A progress report***by*Zellner, Arnold & Israilevich, Guillermo**647-650 Comments on "The Marshallian macroeconomic model: A progress report" by Arnold Zellner and Guillermo Israilevich***by*Espasa, Antoni**651-662 Some methods for assessing the need for non-linear models in business cycle analysis***by*Engel, J. & Haugh, D. & Pagan, A.**663-666 Comments on "Some methods for assessing the need for non-linear models in business cycle analysis"***by*Perez Quiros, Gabriel**667-686 Growth, cycles and convergence in US regional time series***by*Carvalho, Vasco M. & Harvey, Andrew C.**687-689 Growth, cycles, and convergence in US regional time series: A personal point of view***by*Jerez, Miguel & Casals, Jose & Sotoca, Sonia**691-710 Combining filter design with model-based filtering (with an application to business-cycle estimation)***by*Kaiser, Regina & Maravall, Agustin**711-715 Comments on "Combining filter design with model-based filtering"***by*Fernandez-Macho, Javier**717-727 A note on multi-step forecasting with functional coefficient autoregressive models***by*Harvill, Jane L. & Ray, Bonnie K.**729-730 A mild skepticism on nonlinear forecasting: Some comments on the paper by Harvill and Ray***by*Crato, Nuno**731-748 Detecting nonlinearity in time series by model selection criteria***by*Pena, Daniel & Rodriguez, Julio**749-754 On model selection criteria as a starting point for sequential detection of non-linearity***by*Bos, Charles S. & Justel, Ana**755-774 Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination***by*Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.**775-780 Comments on: "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination"***by*Novales, Alfonso**781-783 Reply***by*Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.**785-794 Forecasting aggregates using panels of nonlinear time series***by*Fok, Dennis & van Dijk, Dick & Franses, Philip Hans**795-797 Comments on Fok, van Dijk and Franses's paper: "Forecasting aggregates using panels of nonlinear time series"***by*del Hoyo, J.

### 2005, Volume 21, Issue 3

**397-409 The M3 competition: Statistical tests of the results***by*Koning, Alex J. & Franses, Philip Hans & Hibon, Michele & Stekler, H.O.**411-423 Forecasting support systems for the incorporation of event information: An empirical investigation***by*Webby, Richard & O'Connor, Marcus & Edmundson, Bob**425-434 Large neural networks for electricity load forecasting: Are they overfitted?***by*Hippert, H.S. & Bunn, D.W. & Souza, R.C.**435-462 Forecasting electricity prices for a day-ahead pool-based electric energy market***by*Conejo, Antonio J. & Contreras, Javier & Espinola, Rosa & Plazas, Miguel A.**463-472 Game theory, simulated interaction, and unaided judgement for forecasting decisions in conflicts: Further evidence***by*Green, Kesten C.**473-489 Performance evaluation of judgemental directional exchange rate predictions***by*Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek**491-501 A monthly crude oil spot price forecasting model using relative inventories***by*Ye, Michael & Zyren, John & Shore, Joanne**503-523 Coincident and leading indicators for the euro area: A frequency band approach***by*Rua, Antonio & Nunes, Luis C.**525-537 Measuring and predicting turning points using a dynamic bi-factor model***by*Kholodilin, Konstantin A. & Yao, Vincent W.**539-550 Joint forecasts of Southern European fertility rates with non-stationary dynamic factor models***by*Ortega, Jose Antonio & Poncela, Pilar**551-564 Odds-setters as forecasters: The case of English football***by*Forrest, David & Goddard, John & Simmons, Robert**565-576 Predicting the World Cup 2002 in soccer: Performance and confidence of experts and non-experts***by*Andersson, Patric & Edman, Jan & Ekman, Mattias**577-594 Clustered panel data models: an efficient approach for nowcasting from poor data***by*Mouchart, Michel & Rombouts, Jeroen V.K.**595-607 Forecasting with measurement errors in dynamic models***by*Harrison, Richard & Kapetanios, George & Yates, Tony**609-616 Software evaluation: EasyReg International***by*Choi, Hwan-sik & Kiefer, Nicholas M.**617-618 Comments on a patented bootstrapping method for forecasting intermittent demand***by*Gardner, Everette Jr. & Koehler, Anne B.**619-620 Author's response to Koehler and Gardner***by*Willemain, Thomas R. & Smart, Charles N. & Schwarz, Henry

### 2005, Volume 21, Issue 2

**199-200 The IJF, the Institute and forecasting software***by*Fildes, Robert**201-218 Non-parametric direct multi-step estimation for forecasting economic processes***by*Chevillon, Guillaume & Hendry, David F.**219-235 Bootstrap prediction intervals for power-transformed time series***by*Pascual, Lorenzo & Romo, Juan & Ruiz, Esther**237-248 Bootstrap prediction intervals for ARCH models***by*Reeves, Jonathan J.**249-260 Content horizons for conditional variance forecasts***by*Galbraith, John W. & KI[#x1e63]Inbay, Turgut**261-277 Predicting real growth and the probability of recession in the Euro area using the yield spread***by*Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan**279-289 Computing level-impulse responses of log-specified VAR systems***by*Wieringa, Jaap E. & Horvath, Csilla**291-302 Forecasting using the trend model with autoregressive errors***by*Falk, Barry & Roy, Anindya**303-314 The accuracy of intermittent demand estimates***by*Syntetos, Aris A. & Boylan, John E.**315-330 Bayesian predictions of low count time series***by*McCabe, B.P.M. & Martin, G.M.**331-340 Regression models for forecasting goals and match results in association football***by*Goddard, John**341-362 A dynamic artificial neural network model for forecasting time series events***by*Ghiassi, M. & Saidane, H. & Zimbra, D.K.**363-375 On the predictive content of production surveys: A pan-European study***by*Lemmens, Aurelie & Croux, Christophe & Dekimpe, Marnik G.**377-389 Business survey data: Do they help in forecasting GDP growth?***by*Hansson, Jesper & Jansson, Per & Lof, Marten**391-392 In: Bruce L. Bowerman, Richard T. O'Connell and Anne B. Koehler, Editors, Forecasting, time series, and regression: an applied approach (4th edition), Duxbury Press (2005) ISBN 0-534-40977-6 686 pages***by*Sloboda, Brian**392-394 Market response models: econometric and time series analysis (second edition)***by*Raeside, Robert**394-394 In: J. Knight and S. Satchell, Editors, Forecasting volatility in the financial markets, Butterworth-Heinemann (2002) ISBN 0750655151 Hardcover, [Ukpound]60, 420 pages***by*Nikolopoulos, K.**394-395 In: G. Peter Zhang, Editor, Neural networks in business forecasting, Idea Group Inc. (2003) ISBN 1591401763 Hardcover, 310 pages. $79.95***by*Nikolopoulos, K.**395-395 Advances in business and management forecasting***by*Nikolopoulos, K.

### 2005, Volume 21, Issue 1

**1-1 Editorial***by*Hyndman, Rob J.**3-14 Judgmental forecasting in the presence of loss functions***by*Lawrence, Michael & O'Connor, Marcus**15-24 To combine or not to combine: selecting among forecasts and their combinations***by*Hibon, Michele & Evgeniou, Theodoros**25-36 Decomposition by causal forces: a procedure for forecasting complex time series***by*Armstrong, J. Scott & Collopy, Fred & Yokum, J. Thomas**37-51 An empirical comparison of default risk forecasts from alternative credit rating philosophies***by*Rosch, Daniel**53-71 Consideration sets, intentions and the inclusion of "don't know" in a two-stage model for voter choice***by*Paap, Richard & van Nierop, Erjen & van Heerde, Harald J. & Wedel, Michel & Franses, Philip Hans & Alsem, Karel Jan**73-85 Alternative methods of forecasting risks in Naval manpower planning***by*Jaffry, Shabbar & Capon, Nick**87-102 The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production***by*Franses, Philip Hans & van Dijk, Dick**103-117 A direct test of the information content of the OECD growth forecasts***by*Vuchelen, Jef & Gutierrez, Maria-Isabel**119-136 Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?***by*Hubrich, Kirstin**137-166 Macro variables and international stock return predictability***by*Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper**167-183 Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries***by*Awartani, Basel M.A. & Corradi, Valentina**185-198 Value Line and I/B/E/S earnings forecasts***by*Ramnath, Sundaresh & Rock, Steve & Shane, Philip

### 2004, Volume 20, Issue 4

**523-524 Editorial Announcement***by*De Gooijer, Jan G.**525-527 Damped seasonality factors: Introduction***by*Armstrong, J. Scott**529-549 Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA program***by*Miller, Don M. & Williams, Dan**551-556 Seasonal adjustment perspectives on "Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program"***by*Findley, David F. & Wills, Kellie C. & Monsell, Brian C.**557-560 Implementation issues on shrinkage estimators for seasonal factors within the X-11 seasonal adjustment method***by*Ladiray, Dominique & Quenneville, Benoit**561-563 The interaction between trend and seasonality***by*Hyndman, Rob J.**565-566 Comments on damped seasonal factors and decisions by potential users***by*Koehler, Anne B.**567-568 Shrinking: When and how?***by*Ord, Keith**569-571 Response to the commentaries***by*Miller, Don & Williams, Dan**573-587 An Analytic Network Process model for financial-crisis forecasting***by*Niemira, Michael P. & Saaty, Thomas L.**589-609 A comparison of financial duration models via density forecasts***by*Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David**611-627 Forecasting economic time series with unconditional time-varying variance***by*Van Bellegem, Sebastien & von Sachs, Rainer**629-645 Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood***by*Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh**647-657 The impact of institutional change on forecast accuracy: A case study of budget forecasting in Washington State***by*Deschamps, Elaine**659-670 Linear prediction of temporal aggregates under model misspecification***by*Man, K. S.**671-681 Evaluating consumer sentiments as predictors of UK household consumption behavior: Are they accurate and useful?***by*Easaw, Joshy Z. & Heravi, Saeed M.**683-695 Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination***by*Wang, Zijun & Bessler, David A.**697-711 The value of statistical forecasts in the UK association football betting market***by*Dixon, Mark J. & Pope, Peter F.**713-730 Bayesian time series analysis of periodic behaviour and spectral structure***by*McCoy, E. J. & Stephens, D. A.**732-733 How can you tell in advance whether you are going to get truly expert forecasts?***by*Frank Yates, J. & Onkal, Dilek**733-734 Leading indicator tourism forecasts,: Kulendran, Nada and Stephen F. Witt, Tourism Management, 2003, 24, 503-510. Corresponding author: J.Nash@surrey.ac.uk***by*Law, Rob**734-736 Earnings skewness and analyst forecast bias: Gu Zhaoyang and Joanna Shuang Wu, 2003, Journal of Accounting and Economics, 35, 5-29***by*Krishnan, Murugappa**736-737 Comparison of some Statistical Methods of Probabilistic Forecasting of ENSO: S.J. Mason and G.M. Mimmack, Journal of Climate, 15, 8-29***by*Skouras, Spyros**737-738 The State of Macroeconomic Forecasting: Robert Fildes and Herman Stekler, Journal of Macroeconomics, 2002 24, 435-468. Corresponding author: hstekler@gwu.edu***by*Bachmeier, Lance**738-739 Technical efficiency-based selection of learning cases to improve forecasting accuracy of neural networks under monotonicity assumption: Parag C. Pendharkar and James A. Rodger, Decision Support Systems (36)***by*Zhao, Lin**740-741 Reaping benefits from management research: Lessons from the forecasting principles project, J. Scott Armstrong and Ruth A. Pagell, 2003, Interfaces 33 (6) 89-111***by*Hubbard, Raymond

### 2004, Volume 20, Issue 3

**375-387 A new approach to forecasting intermittent demand for service parts inventories***by*Willemain, Thomas R. & Smart, Charles N. & Schwarz, Henry F.**391-409 Effects of judges' forecasting on their later combination of forecasts for the same outcomes***by*Harvey, Nigel & Harries, Clare**411-425 How costly is it to ignore breaks when forecasting the direction of a time series?***by*Pesaran, M. Hashem & Timmermann, Allan**427-434 Forecasting discrete valued low count time series***by*Freeland, R. K. & McCabe, B. P. M.**435-446 Linear versus neural network forecasts for European industrial production series***by*Heravi, Saeed & Osborn, Denise R. & Birchenhall, C. R.**447-460 Bridge models to forecast the euro area GDP***by*Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe**461-473 The evolution of consensus in macroeconomic forecasting***by*Gregory, Allan W. & Yetman, James**475-485 The structural qualitative method: a promising forecasting tool for developing country markets***by*Naik, Gopal**487-502 Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study***by*Souza, Leonardo R. & Smith, Jeremy**503-514 Parameter estimation and tests of equal forecast accuracy between non-nested models***by*McCracken, Michael W.**515-522 Time Series Modelling using TSMod 3.24***by*Bos, Charles S

### 2004, Volume 20, Issue 2

**169-183 Forecasting economic and financial time-series with non-linear models***by*Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R.**185-199 Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives***by*Corradi, Valentina & Swanson, Norman R.**201-217 Flexible regression models and relative forecast performance***by*Dahl, Christian M. & Hylleberg, Svend**219-236 A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure***by*Clements, Michael P. & Galvao, Ana Beatriz**237-253 Forecasting threshold cointegrated systems***by*De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni**255-271 Forecasting unemployment using an autoregression with censored latent effects parameters***by*Franses, Philip Hans & Paap, Richard & Vroomen, Bjorn**273-286 Volatility forecasting with smooth transition exponential smoothing***by*Taylor, James W.**287-303 Extreme value theory and Value-at-Risk: Relative performance in emerging markets***by*Gencay, Ramazan & Selcuk, Faruk**305-320 The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts***by*Boero, Gianna & Marrocu, Emanuela**321-342 Forecasting with a nonlinear dynamic model of stock returns and industrial production***by*Bradley, Michael D. & Jansen, Dennis W.**343-357 Domestic and international influences on business cycle regimes in Europe***by*Sensier, Marianne & Artis, Michael & Osborn, Denise R. & Birchenhall, Chris**359-372 Forecasting EMU macroeconomic variables***by*Marcellino, Massimliano

### 2004, Volume 20, Issue 1

**1-3 Charles Holt's report on exponentially weighted moving averages: an introduction and appreciation***by*Ord, Keith**5-10 Forecasting seasonals and trends by exponentially weighted moving averages***by*Holt, Charles C.**11-13 Author's retrospective on 'Forecasting seasonals and trends by exponentially weighted moving averages'***by*Holt, Charles C.**15-27 Efficient market hypothesis and forecasting***by*Timmermann, Allan & Granger, Clive W. J.**29-39 The effects of feedback on judgmental interval predictions***by*Bolger, Fergus & Onkal-Atay, Dilek**41-52 Distance and prediction error variance constraints for ARMA model portfolios***by*Chenoweth, Timothy & Dowling, Karen & Hubata, Robert & St. Louis, Robert**53-67 Naive, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance***by*Thomakos, Dimitrios D. & Guerard, John Jr.**69-84 Combining time series models for forecasting***by*Zou, Hui & Yang, Yuhong**85-97 Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators***by*Kim, Jae H.**99-114 Sales forecasting using longitudinal data models***by*Frees, Edward W. & Miller, Thomas W.**115-129 Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations***by*Ng, Hock Guan & McAleer, Michael**131-135 AIDS in Portugal: endemic versus epidemic forecasting scenarios for mortality***by*Oliveira, M. M. & Mexia, J. T.**137-139 Applied time series modelling and forecasting: Richard Harris and Robert Sollis, John Wiley and Sons, Chichester, 2003, Paperback, 302 pages. ISBN 0-470-84443-4, [UK pound]24.95, $59.95***by*Sloboda, Brian**139-139 Introduction to econometrics: Christopher Dougherty (2nd edition), Oxford University Press, 2002, Paperback, 424 pages. ISBN: 0198776438, [UK pound]27.99***by*Nikolopoulos, K.**139-141 Time series analysis by state space methods: J. Durbin and S.J. Koopman, Oxford Statistical Series 24, 2001, Oxford University Press, ISBN 0-19-852354-8, 254 pages, price: [UK pound]36.00 (hardback)***by*Poncela, Pilar**142-143 Analysis of panel data: Second Edition, Cheng Hsiao, Cambridge University Press, Cambridge, United Kingdom, 2003, ISBN 0-521-81855-9, 382 pages, [UK pound]21.95***by*Ribar, David C.**143-144 Elicitation of expert opinions for uncertainty and risk: Bilal M. Ayyub, CRC Press 2001, Hardcover, 328 pages. ISBN: 0-8493-1087-3, $84.95***by*Nikolopoulos, K.**144-148 Environmental Foresight and Models: A Manifesto: Edited by M.B. Beck, Elsevier Science, Oxford, 2003. 473 pp.; $120, ISBN 0-080-44086-X***by*Allen, P. Geoffrey**149-150 The analysis of sports forecasting: Modeling parallels between sports gambling and financial markets: William S. Mallios, Kluwer Academic Publishers, Boston & Dordrecht, 2000, 312 pages, ISBN 0-7923-7713-3, $138.50***by*Simmons, Rob**151-161 A review of Stata 8.1 and its time series capabilities***by*Baum, Christopher F.

### 2003, Volume 19, Issue 4

**551-555 Introduction to crime forecasting***by*Gorr, Wilpen & Harries, Richard**557-566 Modelling and predicting recorded property crime trends in England and Wales--a retrospective***by*Harries, Richard**567-578 Forecasting residential burglary***by*Deadman, Derek**579-594 Short-term forecasting of crime***by*Gorr, Wilpen & Olligschlaeger, Andreas & Thompson, Yvonne**595-601 Simple indicators of crime by time of day***by*Felson, Marcus & Poulsen, Erika**603-622 Criminal incident prediction using a point-pattern-based density model***by*Liu, Hua & Brown, Donald E.**623-634 Predicting the geo-temporal variations of crime and disorder***by*Corcoran, Jonathan J. & Wilson, Ian D. & Ware, J. Andrew**635-653 The non-normality of some macroeconomic forecast errors***by*Harvey, David I. & Newbold, Paul**655-667 Evaluating FOMC forecasts***by*Gavin, William T. & Mandal, Rachel J.**669-684 Shrinkage estimators of time series seasonal factors and their effect on forecasting accuracy***by*Miller, Don M. & Williams, Dan**685-700 The business cycle in the G-7 economies***by*Duarte, Agustin & Holden, Ken**701-713 Forecasting the New York State economy: The coincident and leading indicators approach***by*Megna, Robert & Xu, Qiang**715-725 Exponential smoothing with a damped multiplicative trend***by*Taylor, James W.**727-734 A note on Musgrave asymmetrical trend-cycle filters***by*Quenneville, Benoit & Ladiray, Dominique & Lefrancois, Bernard**735-742 Diagnostics for evaluating the value and rationality of economic forecasts***by*Stekler, H. O. & Petrei, G.**743-749 Just-in-time inventory systems innovation and the predictability of earnings***by*Carnes, Thomas A. & Jones, Jefferson P. & Biggart, Timothy B. & Barker, Katherine J.**751-752 Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [euro;]36.18, Hardback, ISBN 0-521-770416-0, $90, [UK pound]60, [euro;]89.03***by*LeBaron, Blake**753-754 International Marketing Forecasts (2002),: London: Euromonitor Books, 606 pages. ISBN 0 84264-152-2, Paperback, $1250, [UK pound]625, [euro;]1250***by*Goodwin, Paul**754-755 Time-Series Forecasting,: Chris Chatfield, Chapman & Hall/CRC, London, 2001, Hardcover, 280 pages. ISBN: 1-58488-063-5, $74.95***by*Nikolopoulos, K.**755-756 Essays in Econometrics. Collected papers of Clive W.J. Granger. Volume I: Spectral analysis, Seasonality, Nonlinearity, Methodology and Forecasting. Volume II: Causality, Integration and Cointegration, and Long Memory,: Edited by Eric Ghysels, Norman R. Swanson, and Mark W. Watson, Cambridge University Press, 2001, Paperback. Volume I: pp. 523, ISBN: 0-521-77496-9, $40. Volume II: pp. 378, ISBN: 0-521-79649-0, $40***by*Nikolopoulos, K.**756-758 Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory,: Edited by W.A. Barnett, D.F. Hendry, S. Hylleberg, T. Terasvirta, D. Tjostheim, and A.W. Wurtz, Cambridge University Press, 2000. ISBN: 0-521- 59424-3, pp. 227, [UK pound]42.50, US$70 (hardback)***by*Oller, Lars-Erik**758-759 Measuring Business Cycles in Economic Time Series (Lecture Notes in Statistics, Vol. 154),: R. Kaiser and A. Maravall (eds.), Springer-Verlag, New York, 2000. ISBN 0-387-95112-1, pp. 200, $64.95 (Paperback)***by*Xu, Qiang**760-761 Predicting Presidential Elections and Other Things,: Ray C. Fair. Stanford University Press: Stanford, CA, 2002, 168 pp., Hardback, ISBN 0-8047-4509-9, $26.00***by*Armstrong, J. Scott**763-764 Maddala, G.S., "Econometrics in the 21st Century," pp. 265-284***by*Allen, P. Geoffrey**765-765 The impact of forecasting model selection on the value of information sharing in a supply chain: Zhao, X., J. Xie, and Leung, J. (Eds.), European Journal of Operational Research, 2002, Vol. 142, pp. 321-344***by*Lawrence, K. D.**767-767 Corrigendum to "Comparing forecasts of inflation using time distance" [International Journal of Forecasting 19 (2003) 339-349]***by*Granger, Clive W. J. & Jeon, Yongil

### 2003, Volume 19, Issue 3

**339-349 Comparing forecasts of inflation using time distance***by*Granger, Clive W. J. & Jeon, Yongil**351-367 Predicting returns in U.S. financial sector indices***by*Joseph, Nathan Lael**369-385 The predictability of asset returns: an approach combining technical analysis and time series forecasts***by*Fang, Yue & Xu, Daming**387-400 Multi-period forecasting using different models for different horizons: an application to U.S. economic time series data***by*Kang, In-Bong**401-415 A comparison of forecasting methods for hotel revenue management***by*Weatherford, Larry R. & Kimes, Sheryl E.**417-434 Accuracy, usefulness and the evaluation of analysts' forecasts***by*Mozes, Haim A.**435-451 Univariate versus multivariate time series forecasting: an application to international tourism demand***by*du Preez, Johann & Witt, Stephen F.**453-465 Neural network forecasts of Canadian stock returns using accounting ratios***by*Olson, Dennis & Mossman, Charles**467-475 Debiasing forecasts: how useful is the unbiasedness test?***by*Goodwin, Paul & Lawton, Richard**477-491 Long memory time series and short term forecasts***by*Man, K. S.**493-502 Forecasting autoregressive time series with bias-corrected parameter estimators***by*Kim, Jae H.**503-519 On the specification of cointegrated autoregressive moving-average forecasting systems***by*Poskitt, D. S.**521-523 Econometrics of Qualitative Dependent Variables: Christian Gourieroux, translated by Paul B. Klassen (Cambridge, U.K., Cambridge University Press, 2000). ISBN 0 521 33149 8 (hardback), 0 521 58985 1 (paperback), pp. 372***by*Margolis, David N.**523-524 Specifying and Diagnostically Testing Econometric Models,: Houston H. Stokes, Quorum Books, Westport, Conn (2nd ed.), 1997, 445 pp., $79.50, ISBN 1-56720-069-9***by*Phillips, Robert