International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

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Volume 20, issue 4, 2004

Editorial Announcement pp. 523-524

Jan G. Gooijer

Damped seasonality factors: Introduction pp. 525-527

J. Armstrong

Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA program pp. 529-549

Don M. Miller and Dan Williams

Seasonal adjustment perspectives on "Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program" pp. 551-556

David F. Findley, Kellie C. Wills and Brian C. Monsell

Implementation issues on shrinkage estimators for seasonal factors within the X-11 seasonal adjustment method pp. 557-560

Dominique Ladiray and Benoit Quenneville

The interaction between trend and seasonality pp. 561-563

Rob Hyndman

Comments on damped seasonal factors and decisions by potential users pp. 565-566

Anne B. Koehler

Shrinking: When and how? pp. 567-568

John Ord

Response to the commentaries pp. 569-571

Don Miller and Dan Williams

An Analytic Network Process model for financial-crisis forecasting pp. 573-587

Michael P. Niemira and Thomas L. Saaty

A comparison of financial duration models via density forecasts pp. 589-609

Luc Bauwens, Pierre Giot, Joachim Grammig and David Veredas

Forecasting economic time series with unconditional time-varying variance pp. 611-627

Sebastien Van Bellegem and Rainer von Sachs

Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood pp. 629-645

Gloria Gonzalez-Rivera, Tae Hwy Lee and Santosh Mishra

The impact of institutional change on forecast accuracy: A case study of budget forecasting in Washington State pp. 647-657

Elaine Deschamps

Linear prediction of temporal aggregates under model misspecification pp. 659-670

K. S. Man

Evaluating consumer sentiments as predictors of UK household consumption behavior: Are they accurate and useful? pp. 671-681

Joshy Z. Easaw and Saeed M. Heravi

Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination pp. 683-695

Zijun Wang and David Bessler

The value of statistical forecasts in the UK association football betting market pp. 697-711

Mark J. Dixon and Peter F. Pope

Bayesian time series analysis of periodic behaviour and spectral structure pp. 713-730

E. J. McCoy and D. A. Stephens

How can you tell in advance whether you are going to get truly expert forecasts? pp. 732-733

J. Frank Yates and Dilek Onkal

Leading indicator tourism forecasts,: Kulendran, Nada and Stephen F. Witt, Tourism Management, 2003, 24, 503-510. Corresponding author: J.Nash@surrey.ac.uk pp. 733-734

Rob Law

Earnings skewness and analyst forecast bias: Gu Zhaoyang and Joanna Shuang Wu, 2003, Journal of Accounting and Economics, 35, 5-29 pp. 734-736

Murugappa Krishnan

Comparison of some Statistical Methods of Probabilistic Forecasting of ENSO: S.J. Mason and G.M. Mimmack, Journal of Climate, 15, 8-29 pp. 736-737

Spyros Skouras

The State of Macroeconomic Forecasting: Robert Fildes and Herman Stekler, Journal of Macroeconomics, 2002 24, 435-468. Corresponding author: hstekler@gwu.edu pp. 737-738

Lance Bachmeier

Technical efficiency-based selection of learning cases to improve forecasting accuracy of neural networks under monotonicity assumption: Parag C. Pendharkar and James A. Rodger, Decision Support Systems (36) pp. 738-739

Lin Zhao

Reaping benefits from management research: Lessons from the forecasting principles project, J. Scott Armstrong and Ruth A. Pagell, 2003, Interfaces 33 (6) 89-111 pp. 740-741

Raymond Hubbard

Volume 20, issue 3, 2004

A new approach to forecasting intermittent demand for service parts inventories pp. 375-387

Thomas R. Willemain, Charles N. Smart and Henry F. Schwarz

Effects of judges' forecasting on their later combination of forecasts for the same outcomes pp. 391-409

Nigel Harvey and Clare Harries

How costly is it to ignore breaks when forecasting the direction of a time series? pp. 411-425

Mohammad Pesaran and Allan Timmermann

Forecasting discrete valued low count time series pp. 427-434

R. K. Freeland and Brendan McCabe

Linear versus neural network forecasts for European industrial production series pp. 435-446

Saeed Heravi, Denise Osborn and C. R. Birchenhall

Bridge models to forecast the euro area GDP pp. 447-460

Alberto Baffigi, Roberto Golinelli and Giuseppe Parigi

The evolution of consensus in macroeconomic forecasting pp. 461-473

Allan Gregory and James Yetman

The structural qualitative method: a promising forecasting tool for developing country markets pp. 475-485

Gopal Naik

Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study pp. 487-502

Leonardo Souza and Jeremy Smith

Parameter estimation and tests of equal forecast accuracy between non-nested models pp. 503-514

Michael McCracken

Time Series Modelling using TSMod 3.24 pp. 515-522

Charles Bos

Volume 20, issue 2, 2004

Forecasting economic and financial time-series with non-linear models pp. 169-183

Michael Clements, Philip Hans Franses and Norman Swanson

Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives pp. 185-199

Valentina Corradi and Norman Swanson

Flexible regression models and relative forecast performance pp. 201-217

Christian Dahl and Svend Hylleberg

A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure pp. 219-236

Michael Clements and Ana Galvão

Forecasting threshold cointegrated systems pp. 237-253

Jan G. Gooijer and Antoni Vidiella-I-Anguera

Forecasting unemployment using an autoregression with censored latent effects parameters pp. 255-271

Philip Hans Franses, Richard Paap and Bjorn Vroomen

Volatility forecasting with smooth transition exponential smoothing pp. 273-286

James W. Taylor

Extreme value theory and Value-at-Risk: Relative performance in emerging markets pp. 287-303

Ramazan Gencay and Faruk Selcuk

The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts pp. 305-320

Gianna Boero and Emanuela Marrocu

Forecasting with a nonlinear dynamic model of stock returns and industrial production pp. 321-342

Michael Bradley and Dennis Jansen

Domestic and international influences on business cycle regimes in Europe pp. 343-357

Marianne Sensier, Michael Artis, Denise Osborn and Chris Birchenhall

Forecasting EMU macroeconomic variables pp. 359-372

Massimiliano Marcellino

Volume 20, issue 1, 2004

Charles Holt's report on exponentially weighted moving averages: an introduction and appreciation pp. 1-3

John Ord

Forecasting seasonals and trends by exponentially weighted moving averages pp. 5-10

Charles C. Holt

Author's retrospective on 'Forecasting seasonals and trends by exponentially weighted moving averages' pp. 11-13

Charles C. Holt

Efficient market hypothesis and forecasting pp. 15-27

Allan Timmermann and Clive Granger

The effects of feedback on judgmental interval predictions pp. 29-39

Fergus Bolger and Dilek Onkal-Atay

Distance and prediction error variance constraints for ARMA model portfolios pp. 41-52

Timothy Chenoweth, Karen Dowling, Robert Hubata and Robert St. Louis

Naive, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance pp. 53-67

Dimitrios Thomakos and John Guerard

Combining time series models for forecasting pp. 69-84

Hui Zou and Yuhong Yang

Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators pp. 85-97

Jae Kim

Sales forecasting using longitudinal data models pp. 99-114

Edward W. Frees and Thomas W. Miller

Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations pp. 115-129

Hock Guan Ng and Michael McAleer

AIDS in Portugal: endemic versus epidemic forecasting scenarios for mortality pp. 131-135

M. M. Oliveira and J. T. Mexia

Applied time series modelling and forecasting: Richard Harris and Robert Sollis, John Wiley and Sons, Chichester, 2003, Paperback, 302 pages. ISBN 0-470-84443-4, [UK pound]24.95, $59.95 pp. 137-139

Brian Sloboda`

Time series analysis by state space methods: J. Durbin and S.J. Koopman, Oxford Statistical Series 24, 2001, Oxford University Press, ISBN 0-19-852354-8, 254 pages, price: [UK pound]36.00 (hardback) pp. 139-141

Pilar Poncela

Introduction to econometrics: Christopher Dougherty (2nd edition), Oxford University Press, 2002, Paperback, 424 pages. ISBN: 0198776438, [UK pound]27.99 pp. 139-139

Konstantinos Nikolopoulos

Analysis of panel data: Second Edition, Cheng Hsiao, Cambridge University Press, Cambridge, United Kingdom, 2003, ISBN 0-521-81855-9, 382 pages, [UK pound]21.95 pp. 142-143

David Ribar

Elicitation of expert opinions for uncertainty and risk: Bilal M. Ayyub, CRC Press 2001, Hardcover, 328 pages. ISBN: 0-8493-1087-3, $84.95 pp. 143-144

Konstantinos Nikolopoulos

Environmental Foresight and Models: A Manifesto: Edited by M.B. Beck, Elsevier Science, Oxford, 2003. 473 pp.; $120, ISBN 0-080-44086-X pp. 144-148

P Allen

The analysis of sports forecasting: Modeling parallels between sports gambling and financial markets: William S. Mallios, Kluwer Academic Publishers, Boston & Dordrecht, 2000, 312 pages, ISBN 0-7923-7713-3, $138.50 pp. 149-150

Rob Simmons

A review of Stata 8.1 and its time series capabilities pp. 151-161

Christopher Baum