International Journal of Forecasting

1985 - 2025

Current editor(s): R. J. Hyndman

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Volume 17, issue 4, 2001

Bayesian prediction with cointegrated vector autoregressions pp. 585-605

Mattias Villani

On forecasting cointegrated seasonal time series pp. 607-621

Marten Lof and Philip Hans Franses

The asymmetry of judgemental confidence intervals in time series forecasting pp. 623-633

Marcus O'Connor, William Remus and Kenneth Griggs

Volume 17, issue 3, 2001

Introduction pp. 329-332

Ken Holden, Philip A. Klein and Kajal Lahiri

A framework for measuring international business cycles pp. 333-348

Anirvan Banerji and Lorene Hiris

Business cycle measurement in the presence of structural change: international evidence pp. 349-368

Hans-Martin Krolzig

Cyclical aspects of business cycle turning points pp. 369-382

Haldun Sarlan

Predicting US recessions with leading indicators via neural network models pp. 383-401

Min Qi

Comparison of regime switching, probit and logit models in dating and forecasting US business cycles pp. 403-417

Allan P. Layton and Masaki Katsuura

How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth pp. 419-432

Prakash Loungani

Measuring and forecasting asymmetries in employment cycles with US labor market applications pp. 433-445

Gerard Pfann

What determines inflation in the US, job growth or unemployment? pp. 447-458

Debashis Guha and Dimitra Visviki

Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence pp. 459-482

Nicholas Sarantis

Forecasting Australia's economic performance during the Asian crisis pp. 499-515

Peter Summers

A growth cycle characterisation and forecasting of the Spanish economy: 1970-1998 pp. 517-532

Antonio Garcia-Ferrer, Ricardo Queralt and Cristina Blazquez

Volume 17, issue 2, 2001

Automatic identification of time series features for rule-based forecasting pp. 143-157

Monica Adya, Fred Collopy, J. Armstrong and Miles Kennedy

Setting accuracy targets for short-term judgemental sales forecasting pp. 159-169

Derek W. Bunn and James W. Taylor

Regional multi-family housing start forecast accuracy pp. 171-180

Thomas Fullerton, Mika M. Laaksonen and Carol T. West

Macroeconomic forecasts and the nature of economic shocks in Germany pp. 181-201

Jorg Dopke

Structural breaks, ARIMA model and Finnish inflation forecasts pp. 203-230

Juha Junttila

Investigating the JPY/DEM-rate: arbitrage opportunities and a case for asymmetry pp. 231-245

Helmut Herwartz

Bootstrapping prediction intervals for autoregressive models pp. 247-267

Michael Clements and Nick Taylor

Forecasting models and prediction intervals for the multiplicative Holt-Winters method pp. 269-286

Anne B. Koehler, Ralph Snyder and John Ord

Further results on focus forecasting vs. exponential smoothing pp. 287-293

Everette Gardner, Elizabeth A. Anderson-Fletcher and Angela M. Wicks

Irrational Exuberance: Robert Shiller, Princeton University Press, Princeton, 2000. Hardcover, 296 pages, ISBN 0-691-05062-7, $27.95 pp. 295-297

Herman Stekler

Tourism Demand Modelling and Forecasting. Modern Econometric Approaches,: Haiyan Song and Stephen F. Witt (1999) (Elsevier Science Ltd.) ISBN 0-08-043673-0, pp. 178. Hardback, US$75, euro 70.34 pp. 297-299

Diego J. Pedregal

Time Series Analysis and its Applications: Robert H. Shumway and David S. Stoffer; Springer Texts in Statistics; 2000, Springer-Verlag; [UK pound]55, US$79.95, ISBN 0-387-98950-1 pp. 299-301

Richard Lawton

Time Series Analysis and Forecasting with Applications of SAS and SPSS: Robert Yaffee and Monnie McGee (contributor), (2000) San Diego: Academic Press. 496 pages. ISBN 0 127 67870 0 Hardback: [UK pound]29.95, $69.95 pp. 301-302

Anne B. Koehler

Econometric Modelling: Techniques and Applications,: Sean Holly and Martin Weale (Eds.) (2000), Cambridge: Cambridge University Press, x+296 pages. ISBN 0 521 65069 0 Hardback [UK pound]45, $74.95 pp. 302-303

James Davidson

Software reviews pp. 305-317

Ramazan Gencay and Faruk Selcuk

Software reviews pp. 317-322

Len Tashman and Mirco Gros

Diebold, F.X. and Kilian, L. (2000) Unit-root tests are useful for selecting forecasting models. Journal of Business and Economic Statistics, 18, 265-273 pp. 323-325

P Allen

Volume 17, issue 1, 2001

George Box: An interview with the International Journal of Forecasting pp. 1-9

Daniel Peña

The trading profitability of forecasts of the gilt-equity yield ratio pp. 11-29

Chris Brooks and Gita Persand

Benchmarks and the accuracy of GARCH model estimation pp. 45-56

Chris Brooks, Simon P. Burke and Gita Persand

Neural network forecasting of Canadian GDP growth pp. 57-69

Greg Tkacz

Long lead-time forecasting of UK air passengers by Holt-Winters methods with damped trend pp. 71-82

Howard Grubb and Alexina Mason

Effects of parameter estimation on prediction densities: a bootstrap approach pp. 83-103

Lorenzo Pascual, Juan Romo and Esther Ruiz

The forecasting accuracy and determinants of football rankings pp. 105-120

James H. Lebovic and Lee Sigelman

Forecasting market shares from models for sales pp. 121-128

Dennis Fok and Philip Hans Franses

Methodology and Tacit Knowledge: Two Experiments in Econometrics: Jan R. Magnus and Mary S. Morgan (John Wiley, New York, 1999). ISBN: 0471982970, pp. 426, [UK pound]55 pp. 130-133

Jaime Marquez

Forecasting Non-stationary Economic Time Series: Michael P. Clements, and David F. Hendry, The MIT Press, Cambridge, Massachusetts, 1999, ISBN 0-262-03272-4, US $35 (Hardback) pp. 133-134

Lars-Erik Oller

A Study of Recidivism of Serious and Persistent Offenders Among Adolescents: Brent B. Benda and Connie L. Tollett, 1999; Journal of Criminal Justice, Vol. 27, No. 2, pp. 111-126 pp. 135-139

Jonathan P. Caulkins

On Forecasting Exchange Rates Using Neural Networks: P.H. Franses and P.V. Homelen, 1998, Applied Financial Economics, 8, 589-596 pp. 139-140

Sandy Balkin

Henri Theil, 1924-2000 pp. 141-142

Kenneth Clements

Volume 16, issue 4, 2000

The M3-Competition1 pp. 433-436

John Ord, Michele Hibon and Spyros Makridakis

Out-of-sample tests of forecasting accuracy: an analysis and review pp. 437-450

Leonard J. Tashman

The M3-Competition: results, conclusions and implications pp. 451-476

Spyros Makridakis and Michele Hibon

An application of rule-based forecasting to a situation lacking domain knowledge pp. 477-484

Monica Adya, J. Armstrong, Fred Collopy and Miles Kennedy

The use of an expert system in the M3 competition pp. 485-496

Benito E. Flores and Stephen L. Pearce

Automatic ARIMA modeling including interventions, using time series expert software pp. 497-508

G. Melard and J. -M. Pasteels

Automatic neural network modeling for univariate time series pp. 509-515

Sandy D. Balkin and John Ord

A note on the Robust Trend and ARARMA methodologies used in the M3 Competition pp. 517-519

Nigel Meade

The theta model: a decomposition approach to forecasting pp. 521-530

V. Assimakopoulos and Konstantinos Nikolopoulos

Commercially available software and the M3-Competition pp. 531-531

John Ord

The AUTOBOX system pp. 531-533

David Reilly

The Forecast Pro methodology pp. 533-535

Robert L. Goodrich

John Galt's ForecastX Engine pp. 535-535

Anne Omrod

SmartForecasts' Automatic Forecasting System pp. 536-537

Charles N. Smart

The PP (Autocast) System pp. 536-536

Hans Levenbach

Volume 16, issue 3, 2000

The accuracy of European growth and inflation forecasts pp. 293-315

Lars-Erik Oller and Bharat Barot

Forecasting sport: the behaviour and performance of football tipsters pp. 317-331

David Forrest and Robert Simmons

Estimating non-linear ARMA models using Fourier coefficients pp. 333-347

Jorge Ludlow and Walter Enders

Is it safe to assume that software is accurate? pp. 349-357

B McCullough

Sales forecasting practices of Egyptian public enterprises: survey evidence pp. 359-368

M. Tawfik Mady

Sales forecasting updates: how good are they in practice? pp. 369-382

Michael Lawrence and Marcus O'Connor

Sales forecasts for existing consumer products and services: Do purchase intentions contribute to accuracy? pp. 383-397

J. Armstrong, Vicki G. Morwitz and V. Kumar

Forecasting market share using predicted values of competitive behavior: further empirical results pp. 399-421

Daniel Klapper and Helmut Herwartz

Macroeconomic Forecasting: A Sociological Appraisal: by Robert Evans. Routledge Studies in the Modern World Economy, Routledge, 1999, 256 pp, [UK pound]55 (Hbk), ISBN 0-415-20694-4 pp. 423-425

Anca Porojan

Forecasting Economic Time Series, Clements, Michael P. and Hendry, David, F., Cambridge University Press, Cambridge, England, 1998, HB US $ 69.95, ISBN 0-521-63242-0, PB US$ 25.95, ISBN 0-521-63242-0 pp. 425-426

Lars-Erik Oller

The Econometric Modelling of Financial Time Series: Second Edition, Terence C. Mills, (Cambridge: Cambridge University Press, 1999) 380 pages, Paperback; ISBN 0521-62492-4 ($27.95). Hardback: ISBN 0521-62413-4 ($80.00) pp. 426-427

Philip Hans Franses

Bayesian Inference in Dynamic Econometric Models: Luc Bauwens, Michel Lubrano and Jean-Francois Richard, Oxford University Press, Oxford, 1999, Hardback ISBN 0-19-877312-9, [UK pound]45.00, Paperback ISBN 0-19-877313-7, [UK pound]19.95 pp. 427-429

Vinay Kanetkar

Judgment and Decision Making: An Interdisciplinary Reader: Second edition, Terry Connolly, Hal R. Arkes and Kenneth R. Hammond (Eds.), Cambridge University Press, 2000. Paperback: ISBN 0-521-62602-1, [UK pound]24.95 ($34.95); Hardback: ISBN: 0-521-62355-3, [UK pound]60.00 ($84.95) pp. 429-430

Paul Goodwin

Volume 16, issue 2, 2000

What does it take to achieve adoption in sales forecasting? pp. 147-148

Michael Lawrence

A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers pp. 149-172

Lyn C. Thomas

Forecasting stock indices: a comparison of classification and level estimation models pp. 173-190

Mark T. Leung, Hazem Daouk and An-Sing Chen

Forecasting OECD industrial turning points using unobserved components models with business survey data pp. 207-227

Antonio Garcia-Ferrer and Marcos Bujosa

A method for spatial-temporal forecasting with an application to real estate prices pp. 229-246

Kelley Pace, Ronald Barry, Otis W. Gilley and C. F. Sirmans

Comparing seasonal components for structural time series models pp. 247-260

Tommaso Proietti

Correct or combine? Mechanically integrating judgmental forecasts with statistical methods pp. 261-275

Paul Goodwin

Business Cycles: Durations, Dynamics and Forecasting: Francis X. Diebold and Glenn D. Rudebusch, Princeton University Press, Princeton 1999. Hardcover, 420 pages. ISBN: 0-691-01218-0, $49.50 pp. 283-286

Antonio Garcia-Ferrer

Econometric Business Cycle Research: Jan Jacobs, Kluwer Academic Publishers, Boston, 1997. Hardcover, 228 pages. ISBN; 0-7923-8254-4, $100 pp. 286-288

Antonio Garcia-Ferrer

Empirical Modelling in Economics: Specification and Evaluation: Clive W. J. Granger, (Cambridge University Press, 1999) 108 pages, Paperback: ISBN 0-521 77825-5 [UK pound]9.95 ($15.95).Hardback: ISBN 0-521-66208-7 [UK pound]30.00 ($49.95) pp. 288-289

Don Webber

Trouble in Paradise? Europe in the 21st Century: Steven Philip Kramer and Irene Kyriakopoulos (Washington, DC: National Defense University Press, 1996) pp. 289-291

Gregg Bucken-Knapp

Volume 16, issue 1, 2000

Mr Henri Theil:: an interview with the International Journal of Forecasting pp. 1-16

Ronald Bewley

An evaluation of the predictions of the Federal Reserve pp. 17-38

Fred Joutz and Herman Stekler

Interest rate spreads as predictors of German inflation and business cycles pp. 39-58

Detelina Ivanova, Kajal Lahiri and Franz Seitz

Exact smoothing for stationary and non-stationary time series pp. 59-69

Jose Casals, Miguel Jerez and Sonia Sotoca

Forecasting the short-term demand for electricity: Do neural networks stand a better chance? pp. 71-83

Georges A. Darbellay and Marek Slama

Improving the voluntary integration of statistical forecasts and judgment pp. 85-99

Paul Goodwin

Does updating judgmental forecasts improve forecast accuracy? pp. 101-109

Marcus O'Connor, William Remus and Kenneth Griggs

Forecasting the levels of vector autoregressive log-transformed time series pp. 111-116

Miguel A. Arino and Philip Hans Franses

Modeling variables of different frequencies pp. 117-119

Tilak Abeysinghe

Do long-memory models have long memory? pp. 121-124

Michael K. Andersson

Corrections to rule-based forecasting: findings from a replication pp. 125-127

Monica Adya

Statistical Control by Monitoring and Feedback Adjustment: George Box and Alberto Luceno (Eds.); Wiley Series in Probability and Statistics; Copyright 1997, John Wiley and Sons, Inc.; ISBN 0-471-19046-2 pp. 129-130

Nozer D. Singpurwalla

The Practice of Data Analysis: Essays in Honor of John W. Tukey: D.R. Brillinger, L.T. Fernholz and S. Morgenthaler (Eds.); Princeton, NJ: Princeton University Press, 1997, 337pp.; ISBN 0-691-05782-6 pp. 130-132

Hans Levenbach

Book review pp. 132-133

Book Review

Global Energy Perspectives,: edited by Nebojsa Nakicenovic, Arnulf Grubler and Alan McDonald, Cambridge University Press, Cambridge, UK, 1998, ISBN 0521645697 pp. 133-135

Lilian M. de Menezes

System Dynamics in Economic and Financial Models: Christiaan Heij, Hans Schumacher, Bernard Hanzon, and Kees Praagman (Eds.); John Wiley & Sons, West Sussex, England, 1997; ISBN 0-471-96934-6 pp. 135-136

William F. Maxwell

Book review pp. 137-138

Herman Stekler

Book review pp. 138-140

Book Review

Griffin, D., Buehler, R. (1999). Frequency, Probability, and Prediction: Easy Solutions to Cognitive Illusions? Cognitive Psychology, 38, 48-78 pp. 140-142

Glenn J. Browne

Judgmental forecasts of time series affected by special events: Does providing a statistical forecast improve accuracy?: Paul Goodwin and Robert Fildes (1999) Journal of Behavioral Decision Making 12(1), 37-53 pp. 143-144

Fred Collopy