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Forecasting
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Forecasting

Five Volume Set
Edited by:


July 2011 | 2 104 pages | SAGE Publications Ltd

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 that are specific to particular problem areas. This collection has interdisciplinary appeal and will appeal to researchers in business and management, organization studies, politics, and psychology.


 
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
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