Forecasting

VOLUME 1 PART ONE: SMOOTHING PHILOSOPHY Exponential Smoothing: The State of the Art - Everette Gardner Exponential Smoothing With an Adaptive Response Rate - D.W. Trigg and A.G. Leach Forecasting Trends in Time Series - Everette Gardner and Ed McKenzie Integration with Statistical Approaches A New Approach to Linear Filtering and Prediction Problems - Rudolf Kalman Understanding the Kalman Filter - Richard Meinhold and Nozer Singpurwalla Bayesian Forecasting - P.J. Harrison and C.F. Stevens A Unified View of Statistical Forecasting Procedures - Andrew Harvey Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models - Keith Ord, Anne Koehler and Ralph Snyder Univariate Analyses of Time Series Autoregressive Integrated Moving Average Models Box-Jenkins Seasonal Forecasting: Problems in a Case Study with Discussion - Chris Chatfield and David Prothero Outliers, Level Shifts, and Variance Changes in Time Series - Ruey Tsay Unit Root Testing Distribution of the Estimators for Autoregressive Time Series with a Unit Root - David Dickey and Wayne Fuller Trends and Random-Walks in Macroeconomic Time Series: Some Evidence and Implications - Charles Nelson and Charles Plosser Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series have a Unit Root? - Denis Kwiatkowski, Peter Phillips, Peter Schmidt and Yongcheol Efficient Tests for an Autoregressive Unit Root - Graham Elliott, Thomas Rothenberg and James Stock VOLUME 2 Psychologically-Based Approaches Formalising Judgment The Delphi Technique as a Forecasting Tool: Issues and Analysis - Gene Rowe and George Wright Using Segmentation to Improve Sales Forecasts based on Purchase Intent: Which "Intenders" Actually Buy? - Vicki Morwitz and David Schmittlein Bootstrapping (Judgmental Meaning) Clinical Versus Actuarial Judgment - Robyn Dawes, David Faust and Paul Meehl Heuristics and Biases in Forecasting Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk-Taking - Daniel Kahneman and Dan Lovallo Judgment under Uncertainty: Heuristics and Biases - Amos Tversky and Daniel Kahneman Interaction of Judgmental and Statistical Forecasting Methods: Issues and Analysis - Derek Bunn and George Wright Improving Judgment Database Models and Managerial Intuition - 50% Model + 50% Manager - Robert Blattberg and Stephen Hoch Taking Advice: Accepting Help, Improving Judgment, and Sharing Responsibility - Nigel Harvey and Ilan Fischer The Accuracy of Combining Judgmental and Statistical Forecasts - Michael Lawrence, Robert Edmundson and Marcus O'Connor PART TWO: ECONOMETRICS: INTRODUCTION Commentary on the State of the Art Econometrics: Alchemy or Science? - David Hendry Can We Improve the Perceived Quality of Economic Forecasts? - Clive Granger Vector Autoregressions Forecasting With Bayesian Vector Autoregressions: Five Years of Experience - Robert Litterman Cointegration (Merging of TS and Econometrics?) Spurious Regressions in Econometrics - Clive Granger and Paul Newbold Econometric Modeling of the Aggregate Time Series Relationship between Consumers' Expenditure and Income in the UK - James Davidson, David Hendry, Frank Srba and Stephen Yeo Cointegration and Error Correction: Representation, Estimation, and Testing - Robert Engle and Clive Granger Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money - Soren Johansen and Katarina Juselius VOLUME THREE Computer-Intensive Methods How Effective Are Neural Networks at Forecasting and Prediction? A Review and Evaluation - Monica Adya and Fred Collopy Some Recent Developments in Nonlinear Time-Series Modeling, Testing, and Forecasting - Jan Degooijer and Kuldeep Kumar Forecasting With Artificial Neural Networks: The State of the Art - Guoqiang Zhang, B. Eddy Patuwo and Michael Hu Neural Network Models for Time Series Forecasts - Tim Hill, Marcus O' Connor and William Remus Neural Networks for Short-Term Load Forecasting: A Review and Evaluation - Henrique Steinherz Hippert, Carlos Eduardo Pedreira and Reinaldo Castro Souza Measurement of Forecast Errors Evaluation of Extrapolative Forecasting Methods: Results of a Survey of Academicians and Practitioners - Robert Carbone and J. Scott Armstrong Error Measures for Generalizing About Forecasting Methods: Empirical Comparisons - J. Scott Armstrong and Fred Collopy Diagnostic Verification of Probability Forecasts - Allan Murphy and Robert Winkler Comparing and Selecting Comparing Predictive Accuracy - Francis Diebold and Roberto Mariano Part Three Forecasting Competitions A Comparison of Forecasting Techniques on Economic Time Series - David Reid Experience with Forecasting Univariate Time Series and the Combination of Forecasts - Paul Newbold and Clive Granger The Accuracy of Extrapolation (Time-Series) Methods - Results of a Forecasting Competition - Spyros Makridakis et al The Impact of Empirical Accuracy Studies On Time-Series Analysis and Forecasting - Robert Fildes & Spyros Makridakis Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample? - Richard Meese and Kenneth Rogoff VOLUME 4 Combining and Encompassing The Combination of Forecasts - John Bates and Clive Granger Combining Forecasts: A Review and Annotated-Bibliography - Robert Clemen Improved Methods of Combining Forecasts - Clive Granger and R. Ramanathan Econometric Evaluation of Linear Macro-Economic Models - Yock Chong and David Hendry Forecasting Distributions Calculating Interval Forecasts - Chris Chatfield Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation - Robert Engle Modeling and Forecasting Realized Volatility - Torben Andersen, Tim Bollerslev, Francis Diebold and Paul Labys Forecasting Volatility in Financial Markets: A Review - Ser-Huang Poon and Clive Granger Forecasting Practice Familiarity, Application, and Performance of Sales Forecasting Techniques - John Mentzer and James Cox Sales Forecasting Practices: Results from a United States Survey - Douglas Dalrymple The Organization and Improvement of Market Forecasting - Robert Fildes and Robert Hastings Planning and Strategy Forecasting and Planning: An Evaluation - Robin Hogarth and Spyros Makridakis When and How to Use Scenario Planning: A Heuristic Approach with Illustration - Paul Schoemaker Part Four Operations Forecasting and Stock Control for Intermittent Demand - J.D. Croston Forecasting Systems for Production and Inventory Control - Robert Fildes and Charles Beard Quantifying the Bullwhip Effect in a Simple Supply Chain: The Impact of Forecasting, Lead Times, and Information - Frank Chen, Zvi Drezner, Jennifer Ryan and David Simchi-Levi VOLUME 5 Marketing A New Product Growth Model for Consumer Durables - Frank Bass Forecasting New Product Penetration with Flexible Substitution Patterns - David Brownstone and Kenneth Train Modeling Consumer Choice among SKUs - Peter Fader and Bruce Hardie Premarket Forecasting Really New Products - Glen Urban, Bruce Weinberg and John Hauser Technology Forecasting A Diffusion Theory Model of Adoption and Substitution for Successive Generations of High-Technology Products - John Norton and Frank Bass Macroeconomic Forecasting Introduction to Leading Economic Indicators: New Approaches and Forecasting Records - Kajal Lahiri and Geoffrey Moore Forecasting Accuracy of Alternative Techniques: A Comparison of United-States Macroeconomic Forecasts - S.K. McNees Forecasting Output with the Composite Leading Index: A Real-Time Analysis - Francis Diebold and Glenn Rudebusch Macroeconomic Forecasting: A Survey - Kenneth Wallis Macroeconomic Forecasting Using Diffusion Indexes - James Stock and Mark Watson Rational Expectations and Macroeconomic Forecasts - V. Zarnowitz Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates - Chung-ki Min and Arnold Zellner Accounting and Finance A Survey of Credit and Behavioural Scoring: Forecasting Financial Risk of Lending to Consumers - Lyn Thomas Financial Ratios, Discriminant Analysis and Prediction of Corporate Bankruptcy - Edward Altman Bankruptcy Prediction Using Neural Networks - Rick Wilson and Ramesh Sharda Predictability of Stock Returns: Robustness and Economic Significance - M. Hashem Pesaran and Allan Timmermann Analysts Forecasts as Earnings Expectations - Patricia O'Brien