tailieunhanh - Handbook of Economic Forecasting part 23

Handbook of Economic Forecasting part 23. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | 194 A. Timmermann and Mark Watson provided detailed comments and suggestions that greatly improved the paper Comments from seminar participants at the UCSD Rady School forecasting conference were also helpful . References Aiolfi M. Favero . 2005 . Model uncertainty thick modeling and the predictability of stock returns . Journal of Forecasting 24 233-254. Aiolfi M. Timmermann A. 2006 . Persistence of forecasting performance and combination strategies . Journal of Econometrics. In press. Armstrong . 1989 . Combining forecasts The end of the beginning or the beginning of the end . International Journal of Forecasting 5 585-588. Bates . Granger . 1969 . The combination of forecasts . Operations Research Quarterly 20 451-468. Bunn . 1975 . A Bayesian approach to the linear combination of forecasts . Operations Research Quarterly 26 325-329. Bunn . 1985 . Statistical efficiency in the linear combination of forecasts . International Journal of Forecasting 1 151-163. Chan . Stock . Watson . 1999 . Adynamic factor model framework for forecast combination . Spanish Economic Review 1 91-122. Chong . Hendry . 1986 . Econometric evaluation of linear macro-economic models . Review of Economic Studies 53 671-690. Christoffersen P. Diebold . 1997 . Optimal prediction under asymmetrical loss . Econometric Theory 13 806-817. Clemen . 1987 . Combining overlapping information . Management Science 33 373-380. Clemen . 1989 . Combining forecasts A review and annotated bibliography . International Journal of Forecasting 5 559-581. Clemen . Murphy . Winkler . 1995 . Screening probability forecasts Contrasts between choosing and combining . International Journal of Forecasting 11 133-145. Clemen . Winkler . 1986 . Combining economic forecasts . Journal of Business and Economic Statistics 4 39-46. Deutsch M. Granger . Terasvirta T. 1994 . The combination of forecasts using changing weights . International Journal of .