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Forecasting
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Forecasting

Five Volume Set
Edited by:
June 2011 | 2 104 pages | SAGE Publications Ltd
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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 One and Two cover the core methodologies of forecasting. Part Three examines the evaluation of different forecasting methods and how to choose between them. Part Four includes studies that are specific to particular problem areas.

 
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

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ISBN: 9781848607828
£815.00