International Journal of Forecasting - Antérieurs à 2005

2004

Volume 20, Issue 4, October-December 2004

Invited papers

  • ARMSTRONG J.S. - Damped seasonality factors: Introduction, pp. 525 - 528
  • MILLER D.M., WILLIAMS D. - Damping seasonal factors: Shrinkage estimators for the X-12-ARIMA Program, pp. 529 - 550

Commentaries

  • FINDLEY D.F., WILLS K.C., MONSELL B.C. - Seasonal adjustment perspectives on "Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program", pp. 551 - 556
  • LADIRAY D., QUENNEVILLE B. - Implementation issues on shrinkage estimators for seasonal factors within the X-11 seasonal adjustment method, pp. 557 - 560
  • HYNDMAN R,J, - The interaction between trend and seasonality, pp. 561 - 564
  • KOEHLER A.B. - Comments on damped seasonal factors and decisions by potential users, pp. 565 - 566

Response

  • MILLER D., WILLIAMS D. - Response to the commentaries, pp. 569 - 572

Regular papers

  • NIEMIRA M.P., SAATY T.L. - An Analytic Network Process model for financial-crisis forecasting, pp. 573 - 588
  • BAUWENS L., GIOT P., GRAMMIG J., VEREDAS D. - A comparison of financial duration models via density forecasts, pp. 589 - 610
  • VAN BELLEGEM S., von SACHS R. - Forecasting economic time series with unconditional time-varying variance, pp. 611 - 628
  • GONZÁLEZ-RIVERA G., LEE T.-H., MISHRA S. - Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood, pp. 629 - 646
  • DESCHAMPS E. - The impact of institutional change on forecast accuracy: A case study of budget forecasting in Washington State, pp. 647 - 658
  • MAN K.S. - Linear prediction of temporal aggregates under model misspecification, pp. 659 - 670
  • EASAW J.Z., HERAVI S.M. - Evaluation consumer sentiments as predictors of UK household consumption behavior: Are they accurate and useful?, pp. 674 - 682
  • WANG Z., BESSLER D.A. - Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination, pp. 683 - 696
  • DIXON M.J., POPE P.F. - The value of statistical forecasts in the UK association football betting market, pp. 697 - 712
  • McCOY E.J., STEPHENS D.A. - Bayesian time series analysis of periodic bahaviour and spectral structure, pp. 713 - 730

Research on Forecasting

  • COLLOPY F. - How much stock should you put in expert forecasts, p. 731
  • YATES J.F., ÖNKAL D. - Reply to Collopy: How can you tell in advance whether you are going to get truly expert forecasts, p. 732
  • LAW R. - Leading indicator tourism forecasts, p. 733  
  • KRISHNAN M. - Earnings skewness and analyst forecast bias, pp. 734 - 735
  • SKOURAS S. - Comparison of some Statistical Methods of Probabilistic Forecasting of ENSO, p. 736
  • BACHMEIER L. - The State of Macroeconomic Forecasting, p. 737
  • ZHAO L. - Technical efficiency-based selection of learning cases to improve forecasting accuracy of neural networks under monotonicity assumption, p. 738
  • PENDHARKAR P.C., ROGER J.A. - Reply to Zhao: Technical efficiency-based selection of learning cases to improve forecasting of neural networks under monotonicity assumption, p. 739
  • HUBBARD R. - Reaping benefits from management research: Lessons from the forecasting principles project, pp. 740 - 742

(résumés du n° 4/2004)

Volume 20, Issue 3, July-September 2004

Regular papers

  • WILLEMAIN Thomas R., SMART Charles N., SCHWARZ Henry F. - A new approach to forecasting intermittent demand for service parts inventories, pp. 375-387 
  • LAWRENCE M. - Commentary on: A new approach to forecasting intermittent demand for service parts inventories, pp. 389-390 
  • HARVEY Nigel, HARRIES Clare - Effects of judges' forecasting on their later combination of forecasts for the same outcomes, pp. 391-410
  • PESARAN M. Hashem , TIMMERMANN Allan - How costly is it to ignore breaks when forecasting the direction of a time series?, pp. 411-426
  • FREELAND R. K., McCABE B. P. M.  - Forecasting discrete valued low count time series, pp. 427-434 
  • HERAVI Saeed, OSBORN Denise R., BIRCHENHALL C. R. - Linear versus neural network forecasts for European industrial production series, pp. 435-446 
  • BAFFIGI Alberto, GOLINELLI Roberto, PARIGI Giuseppe - Bridge models to forecast the euro area GDP, pp. 447-460 
  • GREGORY Allan W., YETMAN James - The evolution of consensus in macroeconomic forecasting, pp. 461-473 
  • NAIK Gopal, The structural qualitative method: a promising forecasting tool for developing country markets, pp. 475-485 
  • SOUZA Leonardo R., SMITH Jeremy - Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study, pp. 487-502 
  • McCRACKEN Michael W. - Parameter estimation and tests of equal forecast accuracy between non-nested models, pp. 503-514 
  • Software review
  • BOS Charles S. - Time Series Modelling using TSMod 3.24, pp. 515-522 

(résumés du n° 3/2004)

Volume 20, Issue 2, April-June 2004

Special Issue: Forecasting Economic and Financial Time Series Using Nonlinear Methods

Introduction

  • CLEMENTS Michael P., FRANSES Philip Hans, SWANSON Norman R. - Forecasting economic and financial time-series with non-linear models, pp. 169-183 

Theory

  • CORRADI Valentina, SWANSON Norman R. - Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives, pp.  185-199 
  • DAHL Christian M., HYLLEBERG Svend - Flexible regression models and relative forecast performance, pp.  201-217 

Threshold Model

  • CLEMENTS Michael P., GALVÃO Ana Beatriz  - A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure, pp. 219-236 
  • DE GOOIJER Jan G., VIDIELLA-I-ANGUERA Antoni - Forecasting threshold cointegrated systems, pp. 237-253 
  • FRANSES Philip Hans, PAAP Richard, VROOMEN Björn - Forecasting unemployment using an autoregression with censored latent effects parameters, pp. 255-271 

Interval and densities

  • TAYLOR James W.  - Volatility forecasting with smooth transition exponential smoothing, pp. 273-286 
  • GENCAI Ramazan, SELCUK Faruk - Extreme value theory and Value-at-Risk: Relative performance in emerging markets, pp. 287-303
  • BOERO Gianna, MARROCU Emanuela - The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts, pp. 305-320 

Miscellaneous

  • BRADLEY Michael D., JANSEN Dennis W. - Forecasting with a nonlinear dynamic model of stock returns and industrial production, pp. 321-342 
  • SENSIER Marianne, ARTIS Michael, BIRCHENHALL Chris - Domestic and international influences on business cycle regimes in Europe, pp. 343-357 
  • MARCELLINO Massimliano - Forecasting EMU macroeconomic variables, pp.  359-372 

(résumés du n° 2/2004)

Volume 20, Issue 1, January-March 2004

  • ORD Keith - Charles Holt's report on exponentially weighted moving averages: an introduction and appreciation, pp. 1-3 
  • HOLT Charles C. - Forecasting seasonals and trends by exponentially weighted moving averages, pp. 5-10 
  • HOLT Charles C. - Author's retrospective on `Forecasting seasonals and trends by exponentially weighted moving averages',  pp. 11-13 
  • TIMMERMANN Allan, GRANGER Clive W. J. - Efficient market hypothesis and forecasting, pp. 15-27 
  • BOLGER Fergus, ÖNKAL-ATAY Dilek - The effects of feedback on judgmental interval predictions, pp. 29-39 
  • CHENOWETH Timothy, DOWLING Karen, HUBATA Robert, ST.LOUIS Robert - Distance and prediction error variance constraints for ARMA model portfolios, Pages 41-52 
  • THOMAKOS Dimitrios D., GUERARD John B. Jr. - Naïve, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance, pp.  53-67 
  • ZOU Hui, YANG Yuhong - Combining time series models for forecasting, pp.  69-84 
  • KIM Jae H. - Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators, pp. 85-97 
  • FREES Edward W., MILLER Thomas W.  - Sales forecasting using longitudinal data models, pp. 99-114 
  • GUAN NG Hock, McALEER Michael - Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations, pp. 115-129 
  • OLIVEIRA M. M., MEXIA J. T. - AIDS in Portugal: endemic versus epidemic forecasting scenarios for mortality, pp. 131-135 

Book reviews

  • HARRIS Richard, SOLLIS Robert - Applied time series modelling and forecasting, John Wiley and Sons, Chichester, 2003
  • DOUGHERTY Christopher - Introduction to econometrics , Oxford University Press, (2nd edition), 2002  
  • DURBIN J., KOOPMAN S.J. - Time series analysis by state space methods, Oxford Statistical Series 24, 2001
  • HSIAO Cheng - Analysis of panel data: Second Edition, Cambridge University Press, Cambridge, United Kingdom, 2003 
  • AYYUB Bilal M. - Elicitation of expert opinions for uncertainty and risk, CRC Press 2001
  • BECK M.B. (ed.) - Environmental Foresight and Models: A Manifesto, Elsevier Science, Oxford, 2003. 
  • MALLIOS William S. -  The analysis of sports forecasting: Modeling parallels between sports gambling and financial markets, Kluwer Academic Publishers, Boston & Dordrecht, 2000

Software review

  • BAUM Christopher F. - A review of Stata 8.1 and its time series capabilities, pp. 151-161 

(résumés du n° 1/2004)

2003

Volume 19, Issue 4, October-December 2003

Special section: Crime Forecasting

  • GORR W., HARRIES R. - Introduction to crime forecasting, pp. 551-556
  • HARRIES R. - Modelling and predicting recorded property crime trends in England and Wales - a retrospective, pp. 557-566
  • DEADMAN D. - Forecasting residential burglary , pp. 567-578
  • GORR W., OLLIGSCHLAEGER A., THOMPSON Y. - Short-term forecasting of crime, pp. 579-594
  • FELSON M., POULSEN E. - Simple indicators of crime by time of day, pp. 595-602
  • LIU H., BROWN D.E. - Criminal incident prediction using a point-pattern-based density model, pp. 603 - 622
  • CORCORAN J.J., WILSON I.D., WARE J.A. - Predicting the geo-temporal variations of crime and disorder, pp. 623-634

Regular Papers

  • HARVEY D.I., NEWBOLD P. - The non-normality of some macroeconomic forecast errors, pp. 635-654
  • GAVIN W.T., MANDAL R.J. - Evaluating FOMC forecasts, pp. 655-668
  • MILLER D.M., WILLIAMS D. - Shrinkage estimators of time series seasonal factors and their effect on forecasting  accuracy, pp.669-684
  • DUARTE A., HOLDEN K. - The business cycle in the G-7 economies, pp. 685-700
  • MEGNA R., XU Q. - Forecasting the New York State economy: The coincident and leading indicators approach, pp. 701-714
  • TAYLOR J.W - Exponential smoothing with a damped multiplicative trend, pp. 715-726

Notes

  • QUENNEVILLE B., LADIRAY D., LEFRANCOIS B. - A note on Musgrave asymmetrical trend-cycle filters, pp. 727-734
  • STEKLER H.O., PETREI G. - Diagnostics for evaluating the value and rationality of economic forecasts, pp. 735-742
  • CARNES T.A., JONES, J.P., BIGGART T.B., BARKER K.J. - Just-in-time inventory systems inovation and the predictability of earning, pp. 743-750

Book reviews

  • LE BARON Blake - Review of Non-Linear Time Series Models in Empirical Finances.
  • GOODWIN Paul - Review of International Marketing Forecasts (2002)
  • NIKOLOPOULOS K. - Review of  Time-Series Forecasting
  • NIKOLOPOULOS K. - Review of Essays in Econometrics - Collected Papers of Clive W.J. Granger. Volume I. Spectral analysis, Seasonality, Methodology and Forecasting Volume II: Causality, Integration and Cointegration, and long Memory
  • ÖLLER Lars E. - Review of Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory
  • QIANG  Xu -Review of Measuring Busines Cycles in Economic Time Series
  • ARMSTRONG Scott J. - Review of Predicting Presidential Elections and Other Things

Research on Forecasting

  • GEOFFREY Allen P. - Maddala, G.S. Economics in the 21 st Century
    LAWRENCE K.D. - The Impact of Forecasting Model Selection of Information in a Supply Chain

Corrigendum

  • GRANGER C.W.J., JEAN - Comparing forecasts of inflation using time distance

(résumés du n° 4/2003)

Volume 19, Issue 3, July-september 2003

  • GRANGER C.W.J. , Jeon Y. - Comparing forecasts of inflation using time distance, pp. 339-350
  • JOSEPH N.L. - Predictaing returns in U.S. financial sector indices, pp. 351-368
  • FANG Y., XU D. - The predictability of asset returns: an approach combining technical analysis and time series forecasts, pp. 369-386
  • KANG I-B. - Multi-period forecasting using different models for different horizons: an application to U.S. economic time series data, pp. 387-400
  • WEATHERFORD L.R., KIMES S.E. - A comparison of forecasting methods for hotel revenue management, pp. 401-416
  • MOZES H.A. - Accuracy, usefulness and the evaluation of analysts' forecasts, pp. 417-434
  • PREEZ du J., WITT S.F. - Univariate versus multivariate time series forecasting: an application to international tourism demand, pp. 435-452
  • OLSON D., MOSSMAN C. - Neural network forecasts of Canadian stock returns using accounting ratios, pp. 453-466
  • GOODWIN P., LAWTON R. - Debiasing forecasts: how useful is the unbiasedness test?, pp. 467-476
  • MAN K.S. - Long memory time series and short term forecasts, pp. 477-492
  • KIM J.H. - Forecasting autoregressive time series eith bias-corrected parameter estimators, pp. 493-502
  • POSKITT D.S. - On the specification of cointegrated autoregressive moving average forecasting systems, p. 503

Book reviews

  • MARGOLIS David N. - Review of Econometrics of Qualitative Dependent Variables
  • PHILLIPS Robert - Review of Specifying and Diagnostically Testing Econometric Models
  • WACHS Martin - Review of Marking Social Science Matter: Why Social Inquiry Falls and How it Can Succeed Again
  • GARCIA-FERRER Antonio - Review of Macroeconomics and the Real World. Volume 1: Econometric Techniques and Macroeconomics
  • GARCIA-FERRER Antonio - Review of A Course in  Time Series Analysis 
  • NIKOLOPOULOS K. - Review of Eliciting and Analyzing Expert Judgment: A  practical guide
  • GOODWIN Paul - Review  of Practical Forecasting for Mangers 
  • LAWTON Richard - Review of  Statistics in the 21st Century
  • TROST Robert, SILK Julien - Review of Quantitative Models in Marketing Research
  • MASTROGIANIS Costas - Review  of Technological Innovation and Economic Performance
  • JOUTZ Frederick L. - Review of  20/20 Foresight Crafting Strategy in an Uncertain World 

Research on Forecasting

  • OLSON John  - Review of  The Effect of Collaborative Forecasting on Supply Chain Performance
  • SANDERS Nada R. - Review of Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment 

(résumés du n° 3/2003)

Volume 19, Issue 2, avril-juin 2003

Editorial

  • STEKLER H.O. - Improving our ability to predict the unusual event, pp. 161-164

Regular papers

  • WALLIS K.F. - Chi-squared tests of interval and density forecasts, and the bank of England's fan charts, pp. 165-176
  • PATTERSON K.D. - Exploiting information in vintages of time-series data, pp. 177-198
  • GRANGER C.W.J., JEON Y. - A time-distance criterion for evaluating forecasting models, pp. 199-216
  • SULLIVAN R., TIMMERMANN A., WHITE H. - Forecast evaluation with shared data sets, pp. 217-228
  • ASHLEY R. - Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?, pp. 229-240
  • THOMSON M.E., ÖNKAL-ATAY D., POLLOCK A.C., MACAULAY A. - The influence of trend strength on directional probabilistic currency predictions, pp. 241-256
  • BOULIER B.L., STEKLER H.O. - Predicting the outcomes of National Football League games, pp. 257-270

Notes

  • HYNDMAN R.J., BILLAH B. - Unmasking the Theta method, pp. 287-290
  • GREER M. - Directional accuracy tests of long-term interest rate forecasts, pp. 291-298
  • ALBERTSON K., AYLEN J. - Forecasting the behaviour of manufacturing inventory, pp. 299-312
  • CAUDILL S.B. - Predicting discrete outcomes with the maximum score estimator: the case of the NCAA men's basketball tournament, pp. 313-318

Software review

  • HALLAHAN C. - Review of STAMP 6.0, pp. 319-326

Book reviews

  • FILDES Robert - Review of New-Product Diffusion Models, by V. MAHAJAN, E. MULLER and Y. WIND (eds), Kluwer, 2000
  • SLOBODA Brian W. - Review of Econometric Analysis of Seasonal Time Series, by Eric Ghysels and Denise Osborn, Themes in Modern Econometrics, CUP, 2001
  • ANDERSON Scott - Review of Practical Business Forecasting, by Michael K. Evans, Blackwell, 2003
  • NIKOLOPOULOS K. - Review of Simplicity, Inference and Modelling: Keeping it Sophisticatedly Simple, by Arnold zellner, Hugo A. Kreuzenkamp, Michael McAleer (Eds.), CUP, 2001

(résumés du n° 2/2003)

Volume 19, Issue 1, janvier-mars 2003

  • CLEMENTS Michael P. - Some possible directions for future research, pp. 1-3 
  • MOON Mark A., MENTZER John T. , SMITH Carlo D. - Conducting a sales forecasting audit, pp. 5-25 
    Researching Sales Forecasting Practice: Commentaries and authors' response on "Conducting a Sales Forecasting Audit" by M.A. Moon, J.T. Mentzer & C.D. Smith, Pages 27-42 Robert Fildes, Stuart Bretschneider, Fred Collopy, Michael Lawrence, Doug Stewart, Heidi Winklhofer, John T. Mentzer and Mark A. Moon
  • GALBRAITH John W. - Content horizons for univariate time-series forecasts, pp. 43-55 
  • TAYLOR James W., BUIZZA Roberto - Using weather ensemble predictions in electricity demand forecasting, pp. 57-70 
  • QI Min, YANG Sha - Forecasting consumer credit card adoption: what can we learn about the utility function?, pp. 71-85 
  • FANG Yue - Forecasting combination and encompassing tests, pp. 87-94 
  • RIBEIRO RAMOS Francisco Fernando - Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy, pp.  95-110 
  • BEWLEY Ronald, GRIFFITHS William E. - The penetration of CDs in the sound recording market: issues in specification, model selection and forecasting, pp. 111-121 
  • SONG Haiyan, WITT Stephen F., JENSEN Thomas C. - Tourism forecasting: accuracy of alternative econometric models, pp. 123-141
  • ARCHIBALD Blyth C., KOEHLER Anne B. - Normalization of seasonal factors in Winters' methods, Pages 143-148 
  • BROWN Lawrence D. - Small negative surprises: frequency and consequence, pp. 149-159 

(résumés du n° 1/2003)

2002

Volume 18, Issue 4, octobre-décembre 2002

Special issue: Telecommunications Forecasting

Articles

  • FILDES R. - Telecommunications Forecasting, pp. 487-488
  • FILDES R., KUMAR V. - Telecommunications demand forecasting-a review, pp. 489-522
  • MADDEN G., SAVAGE S.J., COBLE-NEAL G. - Forecasting United States-Asia international message telephone service , pp. 523-544
  • KRIDEL D.J., P:N. Rappoport and TAYLOR L.D. - IntraLATA long-distance demand: carrier choice, usage demand and price elasticities , pp. 545-560
  • JUN D.B., KIM S.K., PARK Y.S., PARK M.H., WILSON A.R. - Forecasting telecommunication service subscribers in substitutive and competitive environments, pp. 561-582
  • KUMAR V. NAGPAL A. VENKATESAN R. -Forecasting category sales and market share for wireless telephone subscribers: a combined approach, pp. 583-604
  • ISLAM T., FIEBIG D.G. and MEADE N. - Modelling multinational telecommunications demand with limited data, pp. 605-624
  • VENKATESAN R., KUMAR V. - A genetic algorithms approach to growth phase forecasting of wireless subscribers,pp. 625-646
  • COX L.A. Jr., POPKEN D.A. - A hybrid system-identification method for forecasting telecommunications product demands, pp. 647-672
  • TYCH W. , PEDREGAL D.J., YOUNG P.C., DAVIES J. - An unobserved component model form multi-rate forecasting  of telephone call demand: the design of a forecasting support system, pp.673- 696

Book reviews

  • FILDES R. - Review of The Future of the Telecommunications Industry: Forecasting and Demand Analysis, p. 697
    F- ILDES R. - Review of Forecasting the Internet , pp.697-698

Volume 18, Issue 3, juillet-septembre 2002

Articles

  • DE GOOIJER Jan G. De Gooijer, Introduction to forecasting decisions in conflict situations,  pp. 319-320
  • Invited paper
    • GREEN Kesten C. - Forecasting decisions in conflict situations: a comparison of game theory, role-playing, and unaided judgement,  pp. 321-344
  • Commentaries
    • ARMSTRONG J.  Scott - Assessing game theory, role playing, and unaided judgment, pp. 345-352
    • BOLTON Gary E. - Game theory's role in role-playing, pp. 353-358
    • EREV Ido, ROTH Alvin E., SLONIM Robert L., BARRON Greg - Predictive value and the usefulness of game theoretic models, pp. 359-368
    • GOODWIN Paul - Forecasting games: can game theory win?, pp. 369-374
    • SHEFRIN Hersh - Behavioral decision making, forecasting, game theory, and role-play, pp. 375-382
    • WRIGHT George - Game theory, game theorists, university students, role-playing and forecasting ability, pp. 383-387
  • Response
    • GREEN Kesten C. - Embroiled in a conflict: who do you call?, pp. 389-395
  • Regular papers
    • CLEMENTS Michael P., SMITH Jeremy - Evaluating multivariate forecast densities: a comparison of two approaches, pp. 397-407
    • GUERMAT Cherif, HARRIS Richard D.F. - Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns, pp. 409-419
    • TERUI Nobuhiko, VAN DIJK Herman K. - Combined forecasts from linear and nonlinear time series models, pp. 421-438
    • HYNDMAN Rob J., KOEHLER Anne B., SNYDER Ralph D., GROSE Simone - A state space framework for automatic forecasting using exponential smoothing methods, pp. 439-454

Software review

  • Junsoo Lee, Mark C. Strazicich - Review of ITSM 2000 Professional Version 6.0, developed by Peter J. Brockwell and Richard A. Davis, B&D Enterprises, Inc., Copyright 1999. 

Book reviews

  • Chris Chatfield - Review of Time Series: Data Analysis and Theory, Classics Edition, David R. Brillinger, SIAM, Philadelphia, USA, 2001
  • Andreas Krause, - Review of Developments in Forecast Combination and Portfolio Choice, edited by Christian Dunis, Allan Timmermann and
  • John Moody, Wiley, New York, 2001
  • Paul Goodwin - Review of How to Forecast: A Guide for Business, by James Morell, Aldershot, 2001
  • Jaime Marquez - Review of  Understanding Economic Forecasts, by David . F. Hendry and Neil R. Ericsson, MIT Press, 2001
  • Christophe Planas - Review of Seasonal Adjustment with the X-11 Method, by Dominique Ladiray, et Benoît Quenneville, New York, Springer, 2001
  • Review of Principles of Forecasting: A Handbook for Researchers and Practitioners by J. Scott Amstrong (ed), Kluwer, 2001

Research on Forecasting

  • A. Diamantopoulos - Review of Forecasting Practice, by M.C. Hughes in: Journal of the Operational Research Society, Vol. 52, 2001, pp. 143-149
  • Monica Adya - Review of Potential diffusion of expert systems in forecasting, by J.S. Armstrong and J.T. Yokum, in: Technological Forecasting and Social Change, Vol. 67, 2001, pp. 93-103
  • J. Scott Armstrong - Review of How useful are the forecasts of intergovernmental agencies? The IMF and OECD versus the consensus, by Batchelor, Roy (2001), in: Applied Economics, 33, pp. 225--235 

Volume 18, Issue 2, avril-juin 2002

Articles

  • Computational method for multi-step forecasting
    • HURVIC C.M. - Multistep forecasting of long memory series using fractional exponential models, pp. 167-180
    • BHANSALI R.J., KOKOSZKA P. S. - Computation of the forecast coefficients for multistep prediction of long-range dependent time series, pp. 181-206
  • Trend-stationary univariate and multivarate
    • RAVISHANKER N. , RAY B. K. - Bayesian prediction for vector ARFIMA processes, pp. 207-214
    • BAILLIE R. T., CHUNG S.-K. - Modeling and forecasting from trend-stationary long memory models with applications to climatology, pp. 215-226
    • BERAN J. , FENG Y. , GHOSH S. , SIBBERTSEN P. - On robust  local polynomial estimation with long-memory errors, pp. 227-242
  • Long memory and structural breaks
    • BOS C.S. , FRANSES P.H. , Ooms M. - Inflation, forecast intervals and long memory regression models, pp. 243-264
    • BREIDT F.J. , HSU N.-J - A class of nearly long-memory time series models, pp. 265-282
  • Other topics
    •  GHOSH S. , DRAGHICESCU D. - Predicting the distribution function for long-memory processes, pp. 283-290
    • RAMJEE R. , CRATO N. RAY B.K: - A note on moving average forecasts of long memory  processes with an application to quality control, pp. 291-298
    • SOUZA  L. R. , SMITH J. - Bias in the memory parameter for different sampling  rates,  pp. 299-314

Volume 18, Issue 1, janvier-mars 2002

  • Articles
  • SNYDER Ralph D., KOEHLER Anne B., ORD J. Keith - Forecasting for inventory control with exponential smoothing, pp. 5-18
  • BRÄNNÄS Kurt, HELLSTRÖM Jörgen, NORDSTRÖM Jonas - A new approach to modelling and forecasting monthly guest nights in hotels, pp. 19-30
  • LÖF Mårten, LYHAGEN Johan - Forecasting performance of seasonal cointegration models, pp. 31-44
  • HEANEY Richard - Does knowledge of the cost of carry model improve commodity futures price forecasting ability? - A case study using the London Metal Exchange lead contract, pp. 45-65
  • MEADE Nigel - A comparison of the accuracy of short term foreign exchange forecasting methods, pp. 67-83
  • HEILEMANN Ullrich - Increasing the transparency of macroeconometric forecasts: a report from the trenches, pp. 85-105
  • CHO Dong W. - Do revisions improve forecasts? , pp. 107-115
  • Notes
  • GARDNER Everette S. Jr., DIAZ-SAIZ Joaquin - Seasonal adjustment of inventory demand series: a case study, pp. 117-123
  • LAM J.-P., VEALL M.R. - Bootstrap prediction intervals for single period regression forecasts, pp. 125-130
  • KLEIN Philip A. - Victor Zarnowitz: An interview with the International Journal of Forecasting, pp. 131-151
  • Book reviews 
  • Imad A. Moosa - Exchange Rate Forecasting. Techniques and Applications, Macmillan
    Business, London, 2000, pp. 448, (by Laurence Copeland), pp. 153-154
  • Boris Kovalerchuk and Evgenii Vityaev (Eds.) - Data Mining in Finance: Advances in Relational and Hybrid Methods, Kluwer Academic Publishers, Norwell, Massachusetts, 2000, HB US (by Adrian M. Cowan), pp. 155-156
  • Vassilios Petridis and Athanasios Kehagias (Eds.) - Predictive Modular Neural Networks - Applications to Time Series, Kluwer Academic Publishers, (by Frank A. Monforte), pp. 157-158
  • Spyros Makridakis, Steven C. Wheelwright and Rob J. Hyndman - Forecasting: Methods and Applications, Third edition,  John Wiley and Sons, 1998, 642 pp, (by Alvaro E. Faria Jr.), pp. 158-159
  • George Wright and Paul Goodwin (Eds.) - Forecasting with Judgment, 1998, Chichester, Wiley,  297 pages (by Clare Harries). 

2001

Volume 17, Issue 4, octobre-décembre 2001

Commentaries on the M3-Competition

  • K.ORD - An introduction, some comments and a scorecard, pp.537-541
  • ARMSTRONG J.S.- Should we redesign forecasting competitions?, pp.542-544
  • BALKIN S.D. - The value of nonlinear models in the M3-Competition , pp.545-546
  • CHATFIELD C. - Is 'bigger' necessarily 'better'?, pp.547-548
  • CLEMEN R.T. - Simple versus complex methods, pp. 549-549
  • CLEMENTS M.P. et HENDRY D.F. - Explaining the results of the M3 forecasting competition, pp. 550-553
  • COLLOPY F. - From exploration to confirmation: movement through the M-Competitions, pp. 554-555
  • FILDES R. - Beyond forecasting competitions, pp. 556-559
  • GOODRICH R.L. - Commercial software in the M3 Competition, pp. 560-564
  • GRANGER C.W.J. - Comments on the M3 forecast evaluation and a comparison with a study by Stock and Watson, pp. 565-567
  • HYNDMAN R. - It's time to move from 'what' to 'why', pp. 568-569
  • KOEHLER A.B. - The asymmetry of the Sape measure and other comments on the M3-Competition, pp. 570-573
  • LAWRENCE M. - Why another study?, pp. 574-575
  • STEKLER H. - The M-3 Competition: the need for formal statistical tests, pp. 576-577
  • TASHMAN L.- The M3-Competition and forecasting software, pp. 578-580
  • MAKRIDAKIS S. et HIBON M. - Response to the commentaries on 'The M3-Competition: results, conclusions and implications', pp. 581-584
  • VILLANI M. - Bayesian prediction with cointegrated vector autoregressions, pp.585-606
  • LOF M.et FRANSES P.H. - On forecasting cointegrated seasonal time series, pp. 607-622
  • O'CONNOR M., REMUS W. et K. Griggs - The asymmetry of judgemental confidence intervals in time series forecasting, pp.623- 634

Volume 17, Issue 3, July-September 2001

Special Issue: Reassessing Modern Business Cycles 

  • HOLDEN Ken, KLEIN Philip A., LAHIRI Kajal - Introduction, pp. 329-332
  • BANERJI Anirvan, HIRIS Lorene - A framework for measuring international business cycles, pp. 333-348
  • KROLZIG Hans-Martin - Business cycle measurement in the presence of structural change: international evidence, pp. 349-368
  • SARLAN Haldun - Cyclical aspects of business cycle turning points, pp. 369-382
  • QI Min - Predicting US recessions with leading indicators via neural network models, pp. 383-401
  • LAYTON Allan P., KATSUURA Masaki - Comparison of regime switching, probit and logit models in dating and forecasting US business cycles, pp. 403-417
  • LOUNGANI Prakash - How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth, pp. 419-432
  • PFANN Gerard A. - Measuring and forecasting asymmetries in employment cycles with US labor market applications, pp. 433-445
  • GUHA Debashis, VISVIKI Dimitra - What determines inflation in the US, job growth or unemployment?, pp. 447-458
  • SARANTIS Nicholas - Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence, pp. 459-482
  • FUKUDA Shin-ichi, ONODERA Takashi - A new composite index of coincident economic indicators in Japan: how can we improve forecast performances?, pp. 483-498
  • SUMMERS Peter M. - Forecasting Australia's economic performance during the Asian crisis, pp. 499-515
  • GARCIA-FERRER Antonio, QUERALT Ricardo, BLAZQUEZ Cristina - A growth cycle characterisation and forecasting of the Spanish economy: 1970-1998, pp. 517-532

Volume 17, Issue 2, April-June 2001

  • ADYA M., COLLOPY F., ARMSTRONG J.S. et KENNEDY M. - Automatic identification of time series features for rule-based forecasting , pp.143-158
  • BUNN D.W. et TAYLOR J.W. - Setting accuracy targets for short-term judgemental sales forecasting, pp.159-170
  • FULLERTON T.M. LAAKSONEN M.M. et WEST C.T. - Regional multi-family housing start forecast accuracy, pp.171-180
  • DOPKE J. - Macroeconomic forecasts and the nature of economic shocks in Germany, pp.181-202
  • JUNTTILA J. - Structural breaks, ARIMA model and Finnish inflation forecasts, pp.203 - 230
  • HERWARTZ H. - Investigating the JPY/DEM-rate: arbitrage opportunities and a case for asymmetry , pp.231-246
  • CLEMENTS M.P. et TYLOR N. - Bootstrapping prediction intervals for autoregressive models, pp.247-268
  • KOEHLER A.B., SNYDER R.D. et ORD J.K. - Forecasting models and prediction intergals for the multiplicative Holt-Winters method, pp.268-286
  • NOTE
  • GARDNER E.S., ANDERSON-FLETCHER E.A., WICKS A.M. - Further results on focus forecasting vs. exponential smoothing,

Book Reviews

  • (H.O.Stekler) - Review of R. Shiller, Irrational Exuberance,pp.295-296
  • (D.J. Pedregal) - Review of H. Song and S.F. Witt. Tourism Demand Modeling and Forecasting. Modern Economic Approaches,
    pp.297 - 298
  • (R. Lawton) - Review of R.H. Shumway and D.S. Stoffer. Time Series Analysis and its Applications,pp.299 - 300
  • (A.B. Koehler) - Review of R. Yaffee and M. McGee. time Series Analysis and Forecasting with Applications of SAS and SPSS,
    pp.301
  • (J. Davidson) Review of S. Holly and M. Weale. Econometric Modelling : Techniques and Applications,pp.302-304

Volume 17, Issue 1, January-March 2001

  • PENA Daniel - George Box: An interview with the International Journal of Forecasting, pp. 1-9
  • BROOKS Chris, PERSAND Gita - The trading profitability of forecasts of the gilt-equity yield ratio, pp. 11-29
  • BROOKS Chris, REW Alistair G., RITSON Stuart - A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100, pp. 31-44
  • BROOKS Chris, BURKE Simon P., PERSAND  Gita - Benchmarks and the accuracy of GARCH model estimation, pp. 45-56
  • TKACZ Greg - Neural network forecasting of Canadian GDP growth, pp.57-69
  • GRUBB Howard, MASON Alexina - Long lead-time forecasting of UK air passengers by Holt-Winters methods with damped trend, pp. 71-82
  • PASCUAL Lorenzo, ROMO Juan, RUIZ Esther - Effects of parameter estimation on prediction densities: a bootstrap approach, pp. 83-103
  • LEBOVIC James H., SIGELMANN Lee - The forecasting accuracy and determinants of football rankings, pp. 105-120
  • FOK Dennis, FRANSES Philip-Hans - Forecasting market shares from models for sales, pp. 121-128

Book reviews

  • (Jaime Marquez) - Methodology and Tacit Knowledge: Two Experiments in Econometrics - Jan R. Magnus and Mary S. Morgan, John Wiley, New York, 1999
  • (Lars-Erik Öller) - Forecasting Non-stationary Economic Time Series - Michael P. Clements, and David F.Hendry, The MIT Press, Cambridge, Massachusetts, 1999
  • (Jonathan P. Caulkins) - 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
  • (Sandy Balkin) - On Forecasting Exchange Rates Using Neural Networks - P.H. Franses and P.V. Homelen, 1998, Applied Financial Economics, 8, 589-596

2000

Volume 16, Issue 4, October-December 2000

  • ORD Keith, HIBON Michèle, MAKRIDAKIS Spyros - The M3-Competition, pp. 433-436
  • TASHMAN Leonard J. - Out-of-sample tests of forecasting accuracy: an analysis and review, pp. 437-450
  • MAKRIDAKIS Spyros, HIBON Michèle - The M3-Competition: results, conclusions and implications, pp. 451-476
  • ADYA Monica , ARMSTRONG Scott, COLLOPY Fred , KENNEDY Miles - An application of rule-based forecasting to a situation lacking domain knowledge, pp. 477-484
  • FLORES Benito E., PEARCE Stephen - The use of an expert system in the M3 competition, pp. 485-496
  • MELARD G., PASTEELS J-M - Automatic ARIMA modeling including interventions, using time series, pp. 497-508
  • BALKING D. Sandy, ORD J. Keith - Automatic neural network modeling for univariate time series, pp. 509-515
  • MEADE Nigel - A note on the Robust and ARAMA Trend methodologies used in the M3 Competition, pp. 517-519
  • ASSIMAKIPOULOS V., NICOLOPOULOS K. -The theta model: a decomposition approach to forecasting, pp.521-530

Software Reviews

  • ORD Keith - Commercially available software and the M3-Competition, p. 531
  • REILLY David - The AUTOBOX system, pp.531-533
  • GOODRICH Robert L. -The Forecast Pro methodology, pp. 533-535
  • OMROD Anne - John Galt's ForecastX Engine, p.535
  • LAVENBACH Hans - The PP (Autocast) System, p. 536
  • SNART N. Charlest - SmartForecasts' Automatic Forecasting System, pp. 536-537

Volume 16, Issue 3, July - September 2000

  • ÖLLER Lars-Erik and BAROT Bharat  - The accuracy of European growth and inflation forecasts, pp. 293-315
  • FORREST David and SIMMONS Robert  - Forecasting sport: the behaviour and performance of football tipsters, pp. 317-331
  • LUDLOW Jorge and ENDERS Walter  - Estimating non-linear ARMA models using Fourier coefficients, pp. 333-347
  • McCULLOUGH B.D. - Is it safe to assume that software is accurate?, pp. 349-357

Special section: Forecasting in Marketing

  • MADY Tawfik M.  - Sales forecasting practices of Egyptian public enterprises: survey evidence, pp. 359-368
  • LAWRENCE Michael  and O'CONNOR Marcus  - Sales forecasting updates: how good are they in practice?, pp. 369-382
  • ARMSTRONG J. Scott, MORWITZ Vicki G. and KUMAR V.  - Sales forecasts for existing consumer products and services: Do purchase intentions contribute to accuracy?, pp. 383-397
  • KLAPPER Daniel and HERWARTZ Helmut  - Forecasting market share using predicted values of competitive behavior: further empirical results, pp. 399-421

Book reviews

  • POROJAN Anca  - Macroeconomic Forecasting: A Sociological Appraisal - by Robert Evans. Routledge Studies in the Modern World Economy, Routledge, 1999, pp. 423-425
  • ÖLLER Lars-Erik - Forecasting Economic Time Series, Clements, Michael P. and Hendry, David, F., Cambridge University Press, Cambridge, England, 1998, pp. 425-426
  • FRANSES P.H.B.F.  - The Econometric Modelling of Financial Time Series - Second Edition, Terence C. Mills, (Cambridge: Cambridge University Press, 1999), pp. 426-427
  • KANETKAR Vinay  - Bayesian Inference in Dynamic Econometric Models - Luc Bauwens, Michel Lubrano and Jean-Francois Richard, Oxford University Press, Oxford, 1999, pp. 427-429
  • GOODWIN Paul  - Judgment and Decision Making: An Interdisciplinary Reader - Second edition, Terry Connolly, Hal R. Arkes and Kenneth R. Hammond (Eds.), Cambridge University Press, 2000.

Volume 16, n° 2, Avril-June 2000

  • LAWRENCE Michael - What does it take to achieve adoption in sales forecasting?, pp. 147-148
  • THOMAS, Lyn C. Thomas - A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers, pp. 149-172
  • LEUNG Mark T. , DAOUK Hazem, CHEN An-Sing - Forecasting stock indices: a comparison of classification and level estimation models, pp. 173-190
  • BLACK David C. , CORRIGAN Paul R., DOWD Michael R. - New dogs and old tricks: do money and interest rates still provide information content for forecasts of output and prices?, pp. 191-205
  • CARCÍA-FERRER Antonio, BUJOSA-BRUN Marcos - Forecasting OECD industrial turning points using unobserved components models with business survey data, pp. 207-227
  • KELLEY PACE R., BARRY Ronald, GILLEY Otis W., SIRMANS C.F. - A method for spatial-temporal forecasting with an application to real estate prices, pp. 229-246
  • PROIETTI Tommaso - Comparing seasonal components for structural time series models, pp. 247-260
  • GOODWIN Paul - Correct or combine? Mechanically integrating judgmental forecasts with statisticalmethods, pp. 261-275
  • CARCÍA-FERRER Antonio - Business Cycles: Durations, Dynamics and Forecasting, pp. 283-286
  • CARCÍA-FERRER Antonio Antonio García-Ferrer, Econometric Business Cycle Research, pp. 286-288
  • WEBBER D.J. - Empirical Modelling in Economics: Specification and Evaluation, pp. 288-289
  • BUCKEN-KNAPP Gregg - Trouble in Paradise? Europe in the 21st Century, pp. 289-291

Volume 16 n°1 (janvier-mars 2000)

  • JOUTZ F. et STEKLER H. O. - An evaluation of the predictions of the Federal Reserve, pp.17-38
  • IVANOVA D. , LAHIRI K. et SEITZ F. - Interest rate spreads as predictors of German inflation and business cycles, pp.39-58
  • CASALS J.,JEREZ M. et S. SOTOCA - Exact smoothing for stationary and non-stationary time series, pp. 59-70
  • DARBELLAY G..A. et SLAMA M. - Forecasting the short-term demand for electricity: Do neural networks stand a better chance? , pp.71-84
  • GOODWIN P. - Improving the voluntary integration of statistical forecasts and judgment, pp. 85-100
  • O'CONNOR M. REMUS W. REMUS et GRIGGS K. - Does updating judgmental forecasts improve forecast accuracy? , pp.101-110
  • ARINO M.A. et FRANSES P.H. - Forecasting the levels of vector autoregressive log-transformed time series, pp.111-116
  • ABEYSINGHE T. - Modeling variables of different frequencies , pp.117-120
  • ANDERSSON M.K. - Do long-memory models have long memory? , pp.121-124
  • ADYA M. - Corrections to rule-based forecasting: findings from a replication, pp. 125-128

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