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HANDBOOK OF ECONOMIC FORECASTING VOLUME 1 HANDBOOKS IN ECONOMICS 24 SeriesEditors KENNETH J. ARROW MICHAEL D. INTRILIGATOR AMSTERDAM•BOSTON•HEIDELBERG•LONDON NEWYORK•OXFORD•PARIS•SANDIEGO SANFRANCISCO•SINGAPORE•SYDNEY•TOKYO HANDBOOK OF ECONOMIC FORECASTING VOLUME 1 Editedby GRAHAM ELLIOTT CLIVE W.J. GRANGER ALLAN TIMMERMANN UniversityofCalifornia,SanDiego AMSTERDAM•BOSTON•HEIDELBERG•LONDON NEWYORK•OXFORD•PARIS•SANDIEGO SANFRANCISCO•SINGAPORE•SYDNEY•TOKYO North-HollandisanimprintofElsevier Radarweg29,POBox211,1000AEAmsterdam,TheNetherlands TheBoulevard,LangfordLane,Kidlington,OxfordOX51GB,UK Firstedition2006 Copyright©2006ElsevierB.V.Allrightsreserved Nopartofthispublicationmaybereproduced,storedinaretrievalsystemortransmittedinanyformorbyanymeans electronic,mechanical,photocopying,recordingorotherwisewithoutthepriorwrittenpermissionofthepublisher Permissions may be sought directly from Elsevier’s Science & Technology Rights Department in Oxford, UK: phone (+44)(0)1865843830;fax(+44)(0)1865853333;email:[email protected] requestonlinebyvisitingtheElsevierwebsiteathttp://elsevier.com/locate/permissions,andselectingObtainingpermission touseElseviermaterial Notice Noresponsibilityisassumedbythepublisherforanyinjuryand/ordamagetopersonsorpropertyasamatterofproducts liability,negligenceorotherwise,orfromanyuseoroperationofanymethods,products,instructionsorideascontainedin thematerialherein.Becauseofrapidadvancesinthemedicalsciences,inparticular,independentverificationofdiagnoses anddrugdosagesshouldbemade LibraryofCongressCataloging-in-PublicationData AcatalogrecordforthisbookisavailablefromtheLibraryofCongress BritishLibraryCataloguinginPublicationData AcataloguerecordforthisbookisavailablefromtheBritishLibrary ISBN-13:978-0-444-51395-3 ISBN-10:0-444-51395-7 ISSN:0169-7218(HandbooksinEconomicsseries) ISSN:1574-0706(HandbookofEconomicForecastingseries) ForinformationonallNorth-Hollandpublications visitourwebsiteatbooks.elsevier.com PrintedandboundinTheNetherlands 06 07 08 09 10 10 9 8 7 6 5 4 3 2 1 INTRODUCTIONTOTHESERIES The aim of the Handbooks in Economics series is to produce Handbooks for various branches of economics, each of which is a definitive source, reference, and teaching supplement for use by professional researchers and advanced graduate students. Each Handbookprovidesself-containedsurveysofthecurrentstateofabranchofeconomics intheformofchapterspreparedbyleadingspecialistsonvariousaspectsofthisbranch ofeconomics.Thesesurveyssummarizenotonlyreceivedresultsbutalsonewerdevel- opments,fromrecentjournalarticlesanddiscussionpapers.Someoriginalmaterialis also included, but the main goal is to provide comprehensive and accessible surveys. TheHandbooksare intendedto providenotonlyuseful referencevolumesfor profes- sional collections but also possible supplementary readings for advanced courses for graduatestudentsineconomics. KENNETHJ.ARROWandMICHAELD.INTRILIGATOR PUBLISHER’SNOTE For a complete overview of the Handbooks in Economics Series, please refer to the listingattheendofthisvolume. v This page intentionally left blank CONTENTSOFTHEHANDBOOK VOLUME1 IntroductiontotheSeries ContentsoftheHandbook PART1: FORECASTINGMETHODOLOGY Chapter1 BayesianForecasting JohnGewekeandCharlesWhiteman Chapter2 ForecastingandDecisionTheory CliveW.J.GrangerandMarkJ.Machina Chapter3 ForecastEvaluation KennethD.West Chapter4 ForecastCombinations AllanTimmermann Chapter5 PredictiveDensityEvaluation ValentinaCorradiandNormanR.Swanson PART2: FORECASTINGMODELS Chapter6 ForecastingwithVARMAModels HelmutLütkepohl Chapter7 ForecastingwithUnobservedComponentsTimeSeriesModels AndrewHarvey Chapter8 ForecastingEconomicVariableswithNonlinearModels TimoTeräsvirta vii viii ContentsoftheHandbook Chapter9 ApproximateNonlinearForecastingMethods HalbertWhite PART3: FORECASTINGWITHPARTICULARDATASTRUCTURES Chapter10 ForecastingwithManyPredictors JamesH.StockandMarkW.Watson Chapter11 ForecastingwithTrendingData GrahamElliott Chapter12 ForecastingwithBreaks MichaelP.ClementsandDavidF.Hendry Chapter13 ForecastingSeasonalTimeSeries EricGhysels,DeniseR.OsbornandPauloM.M.Rodrigues PART4: APPLICATIONSOFFORECASTINGMETHODS Chapter14 SurveyExpectations M.HashemPesaranandMartinWeale Chapter15 VolatilityandCorrelationForecasting TorbenG.Andersen,TimBollerslev,PeterF.ChristoffersenandFrancisX.Diebold Chapter16 LeadingIndicators MassimilianoMarcellino Chapter17 ForecastingwithReal-TimeMacroeconomicData DeanCroushore Chapter18 ForecastinginMarketing PhilipHansFranses ContentsoftheHandbook ix AuthorIndex I-1 SubjectIndex I-19

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The compilation of articles in this book gives a wide overview of the many techniques that are used in economic forecasting and each article compares the virtues of its approach with others that are used. Some readers, especially those who are just beginning their careers in econometrics and financi
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HANDBOOK OF ECONOMIC FORECASTING VOLUME 1 HANDBOOKS IN ECONOMICS 24 SeriesEditors KENNETH J. ARROW MICHAEL D. INTRILIGATOR AMSTERDAM•BOSTON•HEIDELBERG•LONDON NEWYORK•OXFORD•PARIS•SANDIEGO SANFRANCISCO•SINGAPORE•SYDNEY•TOKYO HANDBOOK OF ECONOMIC FORECASTING VOLUME 1 Editedby GRAHAM ELLIOTT CLIVE W.J. GRANGER ALLAN TIMMERMANN UniversityofCalifornia,SanDiego AMSTERDAM•BOSTON•HEIDELBERG•LONDON NEWYORK•OXFORD•PARIS•SANDIEGO SANFRANCISCO•SINGAPORE•SYDNEY•TOKYO North-HollandisanimprintofElsevier Radarweg29,POBox211,1000AEAmsterdam,TheNetherlands TheBoulevard,LangfordLane,Kidlington,OxfordOX51GB,UK Firstedition2006 Copyright©2006ElsevierB.V.Allrightsreserved Nopartofthispublicationmaybereproduced,storedinaretrievalsystemortransmittedinanyformorbyanymeans electronic,mechanical,photocopying,recordingorotherwisewithoutthepriorwrittenpermissionofthepublisher Permissions may be sought directly from Elsevier’s Science & Technology Rights Department in Oxford, UK: phone (+44)(0)1865843830;fax(+44)(0)1865853333;email:[email protected] requestonlinebyvisitingtheElsevierwebsiteathttp://elsevier.com/locate/permissions,andselectingObtainingpermission touseElseviermaterial Notice Noresponsibilityisassumedbythepublisherforanyinjuryand/ordamagetopersonsorpropertyasamatterofproducts liability,negligenceorotherwise,orfromanyuseoroperationofanymethods,products,instructionsorideascontainedin thematerialherein.Becauseofrapidadvancesinthemedicalsciences,inparticular,independentverificationofdiagnoses anddrugdosagesshouldbemade LibraryofCongressCataloging-in-PublicationData AcatalogrecordforthisbookisavailablefromtheLibraryofCongress BritishLibraryCataloguinginPublicationData AcataloguerecordforthisbookisavailablefromtheBritishLibrary ISBN-13:978-0-444-51395-3 ISBN-10:0-444-51395-7 ISSN:0169-7218(HandbooksinEconomicsseries) ISSN:1574-0706(HandbookofEconomicForecastingseries) ForinformationonallNorth-Hollandpublications visitourwebsiteatbooks.elsevier.com PrintedandboundinTheNetherlands 06 07 08 09 10 10 9 8 7 6 5 4 3 2 1 INTRODUCTIONTOTHESERIES The aim of the Handbooks in Economics series is to produce Handbooks for various branches of economics, each of which is a definitive source, reference, and teaching supplement for use by professional researchers and advanced graduate students. Each Handbookprovidesself-containedsurveysofthecurrentstateofabranchofeconomics intheformofchapterspreparedbyleadingspecialistsonvariousaspectsofthisbranch ofeconomics.Thesesurveyssummarizenotonlyreceivedresultsbutalsonewerdevel- opments,fromrecentjournalarticlesanddiscussionpapers.Someoriginalmaterialis also included, but the main goal is to provide comprehensive and accessible surveys. TheHandbooksare intendedto providenotonlyuseful referencevolumesfor profes- sional collections but also possible supplementary readings for advanced courses for graduatestudentsineconomics. KENNETHJ.ARROWandMICHAELD.INTRILIGATOR PUBLISHER’SNOTE For a complete overview of the Handbooks in Economics Series, please refer to the listingattheendofthisvolume. v This page intentionally left blank CONTENTSOFTHEHANDBOOK VOLUME1 IntroductiontotheSeries ContentsoftheHandbook PART1: FORECASTINGMETHODOLOGY Chapter1 BayesianForecasting JohnGewekeandCharlesWhiteman Chapter2 ForecastingandDecisionTheory CliveW.J.GrangerandMarkJ.Machina Chapter3 ForecastEvaluation KennethD.West Chapter4 ForecastCombinations AllanTimmermann Chapter5 PredictiveDensityEvaluation ValentinaCorradiandNormanR.Swanson PART2: FORECASTINGMODELS Chapter6 ForecastingwithVARMAModels HelmutLütkepohl Chapter7 ForecastingwithUnobservedComponentsTimeSeriesModels AndrewHarvey Chapter8 ForecastingEconomicVariableswithNonlinearModels TimoTeräsvirta vii viii ContentsoftheHandbook Chapter9 ApproximateNonlinearForecastingMethods HalbertWhite PART3: FORECASTINGWITHPARTICULARDATASTRUCTURES Chapter10 ForecastingwithManyPredictors JamesH.StockandMarkW.Watson Chapter11 ForecastingwithTrendingData GrahamElliott Chapter12 ForecastingwithBreaks MichaelP.ClementsandDavidF.Hendry Chapter13 ForecastingSeasonalTimeSeries EricGhysels,DeniseR.OsbornandPauloM.M.Rodrigues PART4: APPLICATIONSOFFORECASTINGMETHODS Chapter14 SurveyExpectations M.HashemPesaranandMartinWeale Chapter15 VolatilityandCorrelationForecasting TorbenG.Andersen,TimBollerslev,PeterF.ChristoffersenandFrancisX.Diebold Chapter16 LeadingIndicators MassimilianoMarcellino Chapter17 ForecastingwithReal-TimeMacroeconomicData DeanCroushore Chapter18 ForecastinginMarketing PhilipHansFranses ContentsoftheHandbook ix AuthorIndex I-1 SubjectIndex I-19

Description:
The compilation of articles in this book gives a wide overview of the many techniques that are used in economic forecasting and each article compares the virtues of its approach with others that are used. Some readers, especially those who are just beginning their careers in econometrics and financi
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