25 Years of IIF Time Series Forecasting: A Selective Review

Jan G. De Gooijer () and Rob Hyndman ()

No 12/05, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these journals concerned time series forecasting. We also review highly influential works on time series forecasting that have been published elsewhere during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field.

Keywords: Accuracy measures; ARCH model; ARIMA model; Combining; Count data; Densities; Exponential smoothing; Kalman Filter; Long memory; Multivariate; Neural nets; Nonlinearity; Prediction intervals; Regime switching models; Robustness; Seasonality; State space; Structural models; Transfer function; Univariate; VAR. (search for similar items in EconPapers)
JEL-codes: C53 C22 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-his and nep-hpe
Date: 2005-05
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Working Paper: 25 Years of IIF Time Series Forecasting: A Selective Review (2005)
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