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(J. Forecast.) 2001 Volume 20 JOHN WILEY & SONS Chichester ¢ New York ¢ Weinheim ¢ Brisbane * Singapore * Toronto ISSN 0277-6693 JOFODV 20 (1-8) 1-618 (2001) Joumal of OeN E@ASING S1u bscrip° tio° ns SHE, UK or Copyright Clearance Center Inc., 27 Congress Street, Salem, MA 01970, USA). 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Air freight and mailing in Copying of articles is not permitted except for personal and the USA by Publications Expediting Inc., 200 Meacham Ave., internal use, to the extent permitted by national copyright law, Elmont NY 11003, USA. or under the terms of a licence issued by the national USA POSTMASTER—Pilease send address changes to Reproduction Rights Organization (such as Copyright Journal of Forecasting, Publications Expediting Inc., Licensing Agency, 90 Tottenham Court Road, London W1P 200 Meacham Ave., Elmont NY 11003, USA Journal of Forecasting, Vol. 20, iti—vi (2001) Contents Volume 20, Issue Nos 1-8 JOURNAL OF FORECASTING Issue No. 1 January Testing in Unobserved Components Models: A. Harvey Alternative Regime Switching Models for Forecasting Inflation: P. V. Bidarkota Empirical Analysis of Systematic Errors in Chilean GDP Forecasts: R. A. Chumacero Analysis of the US Business Cycle with a Vector-Markov-switching Model: Z. G. Kontolemis An Aggregate Sales Model for Consumer Durables Incorporating a Time-varying Mean Replacement Age: P. FA. Steffens Bounds for the Least Squares Extrapolation in Non-linear AR(1) Processes: J. Andé!/ Issue No. 2 March Evaluating the Predictive Accuracy of Volatility Models: J. A. Lopez Robust Modelling of ARCH Models: J. Jiang, Q. Zhao and Y. V. Hui A Double-threshold GARCH Model for the French Franc/Deutschmark Exchange Rate: C. Brooks Cross-correlations and Predictability of Stock Returns: D. Olson and C. Mossman IV Journal of Forecasting Issue No. 3 April Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order: L. Kilian Bicorrelations and Cross-bicorrelations as Non-linearity Tests and Tools for Exchange Rate Forecasting: C. Brooks and M. J. Hinich Exponential Smoothing of Seasonal Data: A Comparison: Ff. D. Snyder and R. G. Shami Sensitivity of Univariate AR(1) Time-series Forecasts Near the Unit Root: A. N. Banerjee Issue No. 4 July A Forecasting Comparison of Classical and Bayesian Methods for Modelling Logistic Diffusion: R. Bewley and W. E. Griffiths Modelling the Development of Supply-restricted Telecommunications Markets: 7. /slam and D. G. Fiebig Guaranteed-content Prediction Intervals for Non-linear Autoregressions: X. de Luna identification of Asymmetric Prediction Intervals through Causal Forces: J. S. Armstrong and F. Collopy Robust Evaluation of Fixed-event Forecast Rationality: M. P. Clements and N. Taylor Issue No. 5 August Forecasting Output Growth Rates and Median Output Growth Rates: A Hierarchical Bayesian Approach: J. L. Tobias 297 Journal of Forecasting V A Linear Forecasting Model and its Application to Economic Data: G. Peters A Fractionally integrated Exponential Model for UK Unemployment: L. A. Gil-Alana Filters for Short Non-stationary Sequences: D. S. G. Pollock A Re-examination of the Excess Smoothness Puzzle when Consumers Estimate the Income Process: A. N. Banerjee and P. Basu Issue No. 6 September The Approximation of Long-memory Processes by an ARMA Model: G. K. Basak, N. H. Chan and W. Palma Risk Premia and Long Rates in Ireland: K. Cuthbertson and D. Bredin Forecasting UK Industrial Production over the Business Cycle: P. W. Simpson, D. R. Osborn and M. Sensier Choosing Among Competing Econometric Forecasts: Regression-based Forecast Combination Using Model Selection: N. 8. Swanson and T. Zeng Creating High-frequency National Accounts with State-space Modelling: A Monte Carlo Experiment: H. Liu and S. G. Hall Issue No. 7 November Model Specification and Forecasting Foreign Exchange Rates with Vector Autoregressions: N. L. Joseph Modelling the Frequency and Severity of Extreme Exchange Rate Returns: P. Hsieh Forecasting High-frequency Financial Data with the ARFIMA-ARCH Model: M. A. Hauser and R. M. Kunst vi Journal of Forecasting Term Premia and the Maturity Composition of the Federal Debt: New Evidence from the Term Structure of Interest Rates: B. Bekdache Erratum Issue No. 8 December Misspecified Prediction for Time Series: /. Choi and M. Taniguchi Outlier Detection in Regression Models with ARIMA Errors Using Robust Estimates: A. MV. Bianco, M. Garcia Ben, E. J. Martinez and V. J. Yohai Forecasting with K-factor Gegenbauer Processes: Theory and Applications: L. Ferrara and D. Guegan Predicting LDC Debt Rescheduling: Performance Evaluation of OLS, Logit, and Neural Network Models: D. K. Barney and J. A. Alse Author Index Keyword Index Volume Contents