Summary
Overview
Key Readings
Forecasting has long been a core activity involving most if not all organizations. However, it is only relatively recently that it has become an area of intensive research. The earliest research was based in the core quantitative disciplines of statistics and econometrics. However, prior to 1981 there were relatively few articles whose primary focus was forecasting but with the founding of, first the Journal of Forecasting and then, in 1985, the International Journal of Forecasting, the field rapidly developed its own methodological perspectives.
At its heart, forecasting is concerned with evaluating alternative approaches to particular forecasting problems. Parts I and II cover the core methodologies of forecasting. Part III examines the evaluation of different forecasting methods and how to choose between them. Part IV includes studies ...
Editors’ Introduction to the Series: Forecasting
A Brief History of Forecasting Research1
Forecasting has a lengthy history going back at least to Greece and the Delphic Oracle. Nor was it always a glorious history; forecasting was sometimes regarded as a crime punishable by death. More formal forecasting methods applied to natural phenomena such as sun spots and the weather have long been studied, the former going back to the 18th century, but it is only relatively recently that economic and business forecasting, the topics of these benchmark volumes, have become areas of intensive research. For example, all the books published in the 19th century with forecasting in their title were concerned with the weather. But by 1930, we start to see the emergence of ...
Table of Contents
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Volume I: Traditional Time-Series and Computer-Intensive Methods
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Smoothing Philosophy
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1. Exponential Smoothing: The State of the Art
Everette Gardner
1985
Journal of Forecasting
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2. Exponential Smoothing with an Adaptive Response Rate
D. Trigg | A. Leach
1967
Operational Research Quarterly
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3. Forecasting Trends in Time Series
Everette Gardner | Ed. McKenzie
1985
Management Science
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Autoregressive Integrated Moving Average Models
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4. Box–Jenkins Seasonal Forecasting: Problems in a Case-study
C. Chatfield | D. Prothero
1973
Journal of the Royal Statistical Society
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5. Outliers, Level Shifts, and Variance Changes in Time Series
Ruey Tsay
1988
Journal of Forecasting
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Integration with Statistical Approaches
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6. A New Approach to Linear Filtering and Prediction Problems
R. Kalman
1960
Transactions of the ASME-Journal of Basic Engineering
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7. A Unified View of Statistical Forecasting Procedures
A. Harvey
1984
Journal of Forecasting
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8. Understanding the Kalman Filter
Richard Meinhold | Nozer Singpurwalla
1983
The American Statistician
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P. Harrison | C. Stevens
1976
Journal of the Royal Statistical Society
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10. Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
J. Ord | A. Koehler | R. Snyder
1997
Journal of the American Statistical Association
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Computer-intensive and Non-Linear Methods
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11. Some Recent Developments in Non-Linear Time Series Modelling, Testing, and Forecasting
Jan Gooijer | Kuldeep Kumar
1992
International Journal of Forecasting
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12. Neural Network Models for Time Series Forecasts
Tim Hill | Marcus O'Connor | William Remus
1996
Management Science
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13. How Effective are Neural Networks at Forecasting and Prediction? A Review and Evaluation
Monica Adya | Fred Collopy
1998
Journal of Forecasting
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14. Forecasting with Artificial Neural Networks: The State of the Art
Guoqiang Zhang | B. Patuwo | Michael Hu
1998
International Journal of Forecasting
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15. Neural Networks for Short-term Load Forecasting: A Review and Evaluation
Henrique Hippert | Carlos Pedreira | Reinaldo Souza
2001
IEEE Transactions on Power Systems
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Volume II: Econometric and Combining Methods
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Commentary on the State of the Art of Econometric Modelling
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16. Econometrics – Alchemy or Science?
David Hendry
1980
Economica
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17. Can We Improve the Perceived Quality of Economic Forecasts?
Clive Granger
1996
Journal of Applied Econometrics
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Unit Root Testing
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18. Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David Dickey | Wayne Fuller
1979
Journal of the American Statistical Association
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19. Efficient Tests for an Autoregressive Unit Root
Graham Elliott | Thomas Rothenberg | James Stock
1996
Econometrica
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20. Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications
Charles Nelson | Charles Plosser
1982
Journal of Monetary Economics
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Denis Kwiatkowski | Peter Phillips | Peter Schmidt | Yongcheol Shin
1992
Journal of Econometrics
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Vector Autoregressions
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22. Forecasting with Bayesian Vector Autoregressions – Five Years of Experience
Robert Litterman
1986
Journal of Business & Economic Statistics
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Cointegration
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23. Spurious Regressions in Econometrics
C. Granger | P. Newbold
1974
Journal of Econometrics
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24. Co-Integration and Error Correction: Representation, Estimation, and Testing
Robert Engle | C. Granger
1987
Econometrica
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James Davidson | David Hendry | Frank Srba | Stephen Yeo
1978
The Economic Journal
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Søren Johansen | Katarina Juselius
1990
Oxford Bulletin of Economics and Statistics
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Combining and Encompassing
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27. The Combination of Forecasts
J. Bates | C. Granger
1969
Operational Research Quarterly
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28. Combining Forecasts: A Review and Annotated Bibliography
Robert Clemen
1989
International Journal of Forecasting
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29. Improved Methods of Combining Forecasts
Clive Granger | Ramu Ramanathan
1984
Journal of Forecasting
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30. Econometric Evaluation of Linear Macro-Economic Models
Yock Chong | David Hendry
1986
Review of Economic Studies
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Volume III: Judgemental Methods and Forecasting Competitions
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Psychologically-based Approaches
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Heuristics and Biases in Forecasting
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31. Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking
Daniel Kahneman | Dan Lovallo
1993
Management Science
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32. Judgment under Uncertainty: Heuristics and Biases
Amos Tversky | Daniel Kahneman
1974
Science
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33. Interaction of Judgemental and Statistical Forecasting Methods: Issues & Analysis
Derek Bunn | George Wright
1991
Management Science
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Formalising Judgement
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34. The Delphi Technique as a Forecasting Tool: Issues and Analysis
Gene Rowe | George Wright
1999
International Journal of Forecasting
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Vicki Morwitz | David Schmittlein
1992
Journal of Marketing Research
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Bootstrapping (Judgemental Meaning)
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36. Clinical versus Actuarial Judgment
Robyn Dawes | David Faust | Paul Meehl
1989
Science
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Improving Judgement
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37. Database Models and Managerial Intuition: 50% Model 50% Manager
Robert Blattberg | Stephen Hoch
1990
Management Science
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38. The Accuracy of Combining Judgemental and Statistical Forecasts
M. Lawrence | R. Edmundson | M. O'Connor
1986
Management Science
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39. Taking Advice: Accepting Help, Improving Judgment, and Sharing Responsibility
Nigel Harvey | Ilan Fischer
1997
Organizational Behavior and Human Decision Processes
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Forecasting Competitions
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40. A Comparison of Forecasting Techniques on Economic Time Series
David Reid
1972
Forecasting in Action
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41. Experience with Forecasting Univariate Time Series and the Combination of Forecasts
P. Newbold | C. Granger
1974
Journal of the Royal Statistical Society
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42. The Accuracy of Extrapolation (Time Series) Methods: Results of a Forecasting Competition
S. Makridakis | A. Andersen | R. Carbone | R. Fildes | M. Hibon | R. Lewandowski | J. Newton | E. Parzen | R. Winkler
1982
Journal of Forecasting
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Interpretation of Forecasting Competitions
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43. Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?
Richard Meese | Kenneth Rogoff
1983
Journal of International Economics
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44. The Impact of Empirical Accuracy Studies on Time Series Analysis and Forecasting
Robert Fildes | Spyros Makridakis
1995
International Statistical Review
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Volume IV: Forecasts Errors, Forecast Distributions and Macroeconomic Applications
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Measurement and Comparison of Forecast Errors
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Robert Carbone | J. Armstrong
1982
Journal of Forecasting
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46. Error Measures for Generalizing about Forecasting Methods: Empirical Comparisons
J. Armstrong | Fred Collopy
1992
International Journal of Forecasting
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47. Diagnostic Verification of Probability Forecasts
Allan Murphy | Robert Winkler
1992
International Journal of Forecasting
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48. Comparing Predictive Accuracy
Francis Diebold | Roberto Mariano
1995
Journal of Business & Economic Statistics
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Forecasting Distributions
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49. Calculating Interval Forecasts
Chris Chatfield
1993
Journal of Business & Economic Statistics
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Robert Engle
1982
Econometrica
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51. Modeling and Forecasting Realized Volatility
Torben Andersen | Tim Bollerslev | Francis Diebold | Paul Labys
2003
Econometrica
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52. Forecasting Volatility in Financial Markets: A Review
Ser-Huang Poon | Clive Granger
2003
Journal of Economic Literature
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Macroeconomic Forecasting
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53. Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts
Stephen McNees
1986
Journal of Business & Economic Statistics
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54. Rational Expectations and Macroeconomic Forecasts
Victor Zarnowitz
1985
Journal of Business & Economic Statistics
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55. Forecasting Output with the Composite Leading Index: A Real-Time Analysis
Francis Diebold | Glenn Rudebusch
1991
Journal of the American Statistical Association
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Chung-ki Min | Arnold Zellner
1993
Journal of Econometrics
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57. Macroeconomic Forecasting Using Diffusion Indexes
James Stock | Mark Watson
2002
Journal of Business & Economic Statistics
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58. Introduction to Leading Economic Indicators: New Approaches and Forecasting Records
Kajal Lahiri | Geoffrey Moore
1991
Kajal Lahiri and Geoffrey H. Moore Leading Economic Indicators: New Approaches and Forecasting Records
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59. Macroeconomic Forecasting: A Survey
Kenneth Wallis
1989
The Economic Journal
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Volume V: Forecasting Applications, Practice and Planning
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Operations
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60. Forecasting and Stock Control for Intermittent Demands
J. Croston
1972
Operational Research Quarterly
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61. Forecasting Systems for Production and Inventory Control
Robert Fildes | Charles Beard
1992
International Journal of Operations & Production Management
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Frank Chen | Zvi Drezner | Jennifer Ryan | David Simchi-Levi
2000
Management Science
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Marketing
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63. A New Product Growth for Model Consumer Durables1
Frank Bass
1969
Management Science
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64. Premarket Forecasting of Really-New Products
Glen Urban | Bruce Weinberg | John Hauser
1996
Journal of Marketing
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65. Forecasting New Product Penetration with Flexible Substitution Patterns
David Brownstone | Kenneth Train
1999
Journal of Econometrics
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66. Modeling Consumer Choice among SKUs
Peter Fader | Bruce Hardie
1996
Journal of Marketing Research
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Technology Forecasting
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John Norton | Frank Bass
1987
Management Science
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Accounting and Finance
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68. Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy
Edward Altman
1968
The Journal of Finance
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69. Bankruptcy Prediction Using Neural Networks
Rick Wilson | Ramesh Sharda
1994
Decision Support Systems
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70. Predictability of Stock Returns: Robustness and Economic Significance
M. Pesaran | Allan Timmermann
1995
The Journal of Finance
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71. Analysts’ Forecasts as Earnings Expectations
Patricia O'Brien
1988
Journal of Accounting and Economics
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72. A Survey of Credit and Behavioural Scoring: Forecasting Financial Risk of Lending to Consumers
Lyn Thomas
2000
International Journal of Forecasting
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Forecasting Practice
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73. Familiarity, Application, and Performance of Sales Forecasting Techniques
John Mentzer | James Cox
1984
Journal of Forecasting
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74. Sales Forecasting Practices: Results from a United States Survey
Douglas Dalrymple
1987
International Journal of Forecasting
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75. The Organization and Improvement of Market Forecasting
Robert Fildes | Robert Hastings
1994
Journal of the Operational Research Society
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Planning and Strategy
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76. Forecasting and Planning: An Evaluation
Robin Hogarth | Spyros Makridakis
1981
Management Science
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77. Scenario Planning: A Tool for Strategic Thinking
Paul Schoemaker
1995
Sloan Management Review
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