This work provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters have been specially written by experts in the field, bringing together in a single volume a range of contrasting approaches and views.

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 a range of contrasting approaches and views. Forecasting is a practical venture, so many of the chapters are aimed at practitioners and nonspecialists. This book surveys a field that has expanded rapidly in recent years. There are no other up-to-date treatments that survey forecasting in a single volume. The Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed. An extensive editorial overview places the contributions in context, and shows their interconnections and commonalities.

List of ContributorsPrefaceAcknowledgments1. An Overview of Economic Forecasting: Michael P. Clements and David H. Hendry 2. Predictable Uncertainty in Economic Forecasting: Neil R. Ericsson3. Density Forecasting: A Survey: Anthony S. Tay and Kenneth F. Wallis 4. Statistical Approaches to Modelling and Forecasting Time Series: Diego J. Pedregal and Peter C. Young5. Forecasting with Structural Time-Series Models: Tommaso Proietti 6. Judgemental Forecasting: Dilek Onkal-Atay, Mary E. Thomson and Andrew C. Pollock7. Forecasting for Policy: Adrian R. Pagan and John Robertson8. Forecasting Cointegrated VARMA Processes: Helmut Lutkepohl9. Multi-Step Forecasting: Raj Bhansali10. The Rationality and Efficiency of Individuals' Forecasts: Herman O. Stekler11. Decision-Theoretic Methods for Forecast Evaluation: M. Hashem Pesaran and Spyros Skouros12. Forecast Combination and Encompassing: Paul Newbold and David I. Harvey13. Testing Forecast Accuracy: Roberto S. Mariano14. Inference About Predictive Ability: Michael W. McCracken and Kenneth D. West15. Forecasting Competitions: Their Role in Improving Forecasting Practice and Research: Robert Fildes and Keith Ord16. Empirical Comparisons of Inflation Models' Forecast Accuracy: Oyvind Eitrheim, Tore Anders Husebo, and Ragnar Nymoen17. The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy, and the UK: Gonzalo Camba-Mendez, George Kapetanios, Martin R. Weale and Richard J. Smith 18. Unit Root Versus Deterministic Representations of Seasonality for Forecasting: Denise R. Osborn19. Forecasting with Periodic Autoregressive Time Series Models: Philip Hans Franses and Richard Paap 20. Non-Linear Models and Forecasting: Ruey S. Tsay 21. Forecasting with Smooth Transition Autoregressive Models: Stefan Lundbergh and Timo Terasvirta22. Forecasting Financial Variables: Terence C. Mills 23. Explaining Forecast Failure in Macroeconomics: Michael P. Clements and David F. Hendry Author IndexSubject Index