Forecasting economic time series

Book

Analyzes the models, procedures, and measures of economic forecasting with a view to improving forecasting practices. This volume sets the scene by focusing on forecasting when the underlying process can be described by a stationary representation. A companion volume, Zeuthen Lectures on Economic Forecasting will discuss forecasting in the presence of deterministic nonstationarities. Provides an introduction to forecasting. Discusses first principles; forecasting in univariate processes; Monte Carlo simulation techniques; forecasting in cointegrated systems; forecasting with large-scale macroeconometric models; the value of intercept corrections; forecasting using leading indicators; combining forecasts; multistep estimation; the value of imposing parsimony; and testing forecast accuracy. Sets out recommendations for forecasting practice. Clements is Research Fellow in Economics at the University of Warwick. Hendry is Leverhulme Personal Research Professor of Economics and Fellow of Nuffield College, Oxford University. Author and subject indexes.

Authors: Clements, M; Hendry, D

• Publisher: Cambridge University Press
• Place of publication: Cambridge; New York and Melbourne
• Publication date: 1998-01-01
• Language: English