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Economic Forecasting

Terence C. Mills, Professor of Applied Statistics and Econometrics, Loughborough University, UK
This authoritative and wide-ranging collection presents over fifty of the most important articles on forecasting – a technique that lies at the heart of economic policy and decision-making.

This comprehensive two volume set presents the major papers in macroeconomic forecasting and policy making; time series forecasting; the econometrics of forecasting; forecast evaluation; forecasting with leading indicators; forecasting in finance and economic forecasting using surveys.
Two volume set
Extent: 1,192 pp
Hardback Price: $570.00 Web: $513.00
Publication Date: 1999
ISBN: 978 1 85278 866 7
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  • Economics and Finance
  • Behavioural and Experimental Economics
This authoritative and wide-ranging collection presents over fifty of the most important articles on forecasting – a technique that lies at the heart of economic policy and decision-making.

This comprehensive two volume set presents the major papers in macroeconomic forecasting and policy making; time series forecasting; the econometrics of forecasting; forecast evaluation; forecasting with leading indicators; forecasting in finance and economic forecasting using surveys.
58 articles, dating from 1924 to 1998
Contributors include: G. Box, R. Fair, C. Granger, A. Harvey, D. Hendry, L. Klein, S. McNees, P. Newbold, K. Wallis, V. Zarnowitz
Contents:

VOLUME I:

Acknowledgements • Introduction Terence Mills

Part I: Early Attempts
1. Warren M. Persons (1924), ‘Some Fundamental Concepts of Statistics’
2. Paul A. Samuelson (1987), ‘Paradise Lost and Refound: The Harvard ABC Barometers’
3. Arthur W. Marget (1929), ‘Morgenstern on the Methodology of Economic Forecasting’
Part II: Macroeconomic Forecasting and Policymaking
4. R.L. Marris (1954), ‘The Position of Economics and Economists in the Government Machine: A Comparative Critique of the United Kingdom and the Netherlands’
5. Daniel B. Suits (1962), ‘Forecasting and Analysis with an Econometric Model’
6. Alec Cairncross (1969), ‘Economic Forecasting’
7. Stephen K. McNees (1982), ‘The Role of Macroeconometric Models in Forecasting and Policy Analysis in the United States’
8. Sir Terence Burns (1986), ‘The Interpretation and Use of Economic Predictions’
9. Kenneth F. Wallis (1991), ‘Macroeconomic Forecasting: A Survey’
Part III: Time Series Forecasting
10. P.J. Coen, E.D. Gomme and M.G. Kendall (1969), ‘Lagged Relationships in Economic Forecasting (with discussion)’
11. Jeremy Bray (1971), ‘Dynamic Equations for Economic Forecasting with the G.D.P. - Unemployment Relation and the Growth of G.D.P. in the United Kingdom as an Example’
12. George E.P. Box and Paul Newbold (1971), ‘Some Comments on a Paper of Coen, Gomme and Kendall’
13. P. Newbold and C.W.J. Granger (1974), ‘Experience with Forecasting Univariate Time Series and the Combination of Forecasts’
14. Richard Meese and John Geweke (1984), ‘A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series’
15. A.C. Harvey and P.H.J. Todd (1983), ‘Forecasting Economic Time Series With Structural and Box-Jenkins Methods: A Case Study’
16. Robert B. Litterman (1986), ‘Forecasting With Bayesian Vector Autoregressions – Five Years of Experience’
17. K. Rao Kadiyala and Sune Karlsson (1993), ‘Forecasting with Generalized Bayesian Vector Autoregressions’
18. Jin-Lung Lin and C.W.J. Granger (1994), ‘Forecasting from Non-linear Models in Practice’
19. Chris Chatfield (1997), ‘Forecasting in the 1990s’
Part IV: The Econometrics of Forecasting
20. Richard T. Baillie and Tim Bollerslev (1992), ‘Prediction in Dynamic Models with Time-Dependent Conditional Variances’
21. Michael P. Clements and David F. Hendry (1993), ‘On the Limitations of Comparing Mean Square Forecast Errors’
22. Michael P. Clements and David F. Hendry (1995), ‘Forecasting in Cointegrated Systems’
23. David F. Hendry (1997), ‘The Econometrics of Macroeconomic Forecasting’
Name Index

VOLUME II:

Acknowledgements • An Introduction by the editor to both volumes appears in volume I

Part I: Forecast Evaluation
1. Geoffrey H. Moore (1969), ‘Forecasting Short-Term Economic Change’
2. Victor Zarnowitz (1979), ‘An Analysis of Annual and Multiperiod Quarterly Forecasts of Aggregate Income, Output, and the Price Level’
3. H.O. Stekler (1968), ‘Forecasting with Econometric Models: An Evaluation’
4. Charles R. Nelson (1972), ‘The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy’
5. J.M. Bates and C.W.J. Granger (1969), ‘The Combination of Forecasts’
6. C.W.J. Granger and P. Newbold (1973), ‘Some Comments on the Evaluation of Economic Forecasts’
7. Robert T. Clemen (1989), ‘Combining Forecasts: A Review and Annotated Bibliography’
8. E. Philip Howrey, Lawrence R. Klein and Michael D. McCarthy (1974), ‘Notes on Testing the Predictive Performance of Econometric Models’
9. Ray C. Fair (1974), ‘An Evaluation of a Short-Run Forecasting Model’
10. Ray C. Fair (1979), ‘An Analysis of the Accuracy of Four Macroeconometric Models’
11. Stephen K. McNees (1986), ‘Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts’
12. R.A. Kolb and H.O. Stekler (1990), ‘The Lead and Accuracy of Macroeconomic Forecasts’
13. Roy Batchelor and Pami Dua (1990), ‘Forecaster Ideology, Forecasting Technique, and the Accuracy of Economic Forecasts’
14. Stephen K. McNees (1992), ‘The Uses and Abuses of ‘Consensus’ Forecasts’
15. Gordon Leitch and J. Ernest Tanner (1991), ‘Economic Forecast Evaluation: Profits Versus The Conventional Error Measures’
16. Francis X. Diebold and Roberto S. Mariano (1995), ‘Comparing Predictive Accuracy’
17. David I. Harvey, Stephen J. Leybourne and Paul Newbold (1998), ‘Tests for Forecast Encompassing’
18. Clive W.J. Granger (1996), ‘Can We Improve the Perceived Quality of Economic Forecasts?’
Part II: Forecasting with Leading Indicators
19. S.S. Alexander and H.O. Stekler (1959), ‘Forecasting Industrial Production-Leading Series Versus Autoregression’
20. Saul H. Hymans (1973), ‘On the Use of Leading Indicators to Predict Cyclical Turning Points’ and ‘Comments and Discussion’
21. Alan J. Auerbach (1982), ‘The Index of Leading Indicators: “Measurement Without Theory”’
22. Francis X. Diebold and Glenn D. Rudebusch (1991), ‘Forecasting Output With the Composite Leading Index: A Real-Time Analysis’
23. Rebecca A. Emerson and David F. Hendry (1996), ‘An Evaluation of Forecasting Using Leading Indicators’
Part III: Forecasting in Finance
24. Alfred Cowles 3rd (1933), ‘Can Stock Market Forecasters Forecast?’
25. Harry V. Roberts (1959), ‘Stock-Market “Patterns” and Financial Analysis: Methodological Suggestions’
26. C.W.J. Granger (1972), ‘Analysis of Stock Market Price Data’
27. Clive W.J. Granger (1992), ‘Forecasting Stock Market Prices: Lessons for Forecasters’
28. Christopher G. Lamoureux and William D. Lastrapes (1993), ‘Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities’
29. Jaesun Noh, Robert F. Engle and Alex Kane (1994), ‘Forecasting Volatility and Option Prices of the S&P 500 Index’
30. Kenneth F. Kroner, Kevin P. Kneafsey and Stijn Claessens (1995), ‘Forecasting Volatility in Commodity Markets’
31. Kenneth D. West and Dongchul Cho (1995), ‘The Predictive Ability of Several Models of Exchange Rate Volatility’
32. Steve Satchell and Allan Timmermann (1995), ‘An Assessment of the Economic Value of Non-linear Foreign Exchange Rate Forecasts’
Part IV: Economic Forecasting Using Surveys
33. Richard D. Rippe and Maurice Wilkinson (1974), ‘Forecasting Accuracy of the McGraw-Hill Anticipatory Data’
34. John A. Carlson (1977), ‘A Study of Price Forecasts’
35. Victor Zarnowitz (1985), ‘Rational Expectations and Macroeconomic Forecasts’
Name Index