메뉴 건너뛰기




Volumn , Issue , 2007, Pages 562-584

Forecasting Economic Time Series

Author keywords

[No Author keywords available]

Indexed keywords


EID: 4344641149     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9780470996249.ch28     Document Type: Chapter
Times cited : (10)

References (60)
  • 3
    • 0003691602 scopus 로고
    • Time Series: Theory and Methods.
    • New York: Springer- Verlag
    • Brockwell, P.J., and R.A. Davis (1987). Time Series: Theory and Methods. New York: Springer- Verlag.
    • (1987)
    • Brockwell, P.J.1    Davis, R.A.2
  • 4
    • 84952009978 scopus 로고    scopus 로고
    • A dynamic factor model framework for forecast combination.
    • Chan, Y.L., J.H. Stock, and M.W. Watson (1998). A dynamic factor model framework for forecast combination. Spanish Economic Review 1, 91-121.
    • (1998) Spanish Economic Review , vol.1 , pp. 91-121
    • Chan, Y.L.1    Stock, J.H.2    Watson, M.W.3
  • 5
    • 0031327745 scopus 로고    scopus 로고
    • Optimal prediction under asymmetric loss. Econometric Theory
    • Christoffersen, P.F., and F.X. Diebold (1997 ). Optimal prediction under asymmetric loss. Econometric Theory 13, 808-17.
    • (1997) , vol.13 , pp. 808-817
    • Christoffersen, P.F.1    Diebold, F.X.2
  • 7
    • 0003774493 scopus 로고    scopus 로고
    • Forecasting Non-Stationary Economic Time Series.
    • Cambridge: MIT Press
    • Clements, M., and D.F. Hendry (1999). Forecasting Non-Stationary Economic Time Series. Cambridge: MIT Press.
    • (1999)
    • Clements, M.1    Hendry, D.F.2
  • 8
    • 0012753225 scopus 로고
    • The predictive performance of quarterly econometric models of the United States.
    • In B.G. Hickman (ed.) New York: Columbia University Press
    • Cooper, R.L. (1972). The predictive performance of quarterly econometric models of the United States. In B.G. Hickman (ed.) Econometric Models of Cyclical Behavior. New York: Columbia University Press.
    • (1972) Econometric Models of Cyclical Behavior.
    • Cooper, R.L.1
  • 9
    • 0030534395 scopus 로고    scopus 로고
    • Maximum likelihood estimation for MA(1) processes with a root on or near the unit circle.
    • Davis, R.A., and W.T.M. Dunsmuir (1996). Maximum likelihood estimation for MA(1) processes with a root on or near the unit circle. Econometric Theory 12, 1-29.
    • (1996) Econometric Theory , vol.12 , pp. 1-29
    • Davis, R.A.1    Dunsmuir, W.T.M.2
  • 10
    • 0347623647 scopus 로고    scopus 로고
    • Evaluating density forecasts with applications to financial risk management.
    • Diebold, F.X., T. Gunther, and A.S. Tay (1998). Evaluating density forecasts with applications to financial risk management. International Economic Review 39, 868-83.
    • (1998) International Economic Review , vol.39 , pp. 868-883
    • Diebold, F.X.1    Gunther, T.2    Tay, A.S.3
  • 11
    • 70350347433 scopus 로고
    • Forecast evaluation and combination.
    • In G.S. Maddala and C.R. Rao (eds.)
    • Diebold, F.X., and J.A. Lopez (1995). Forecast evaluation and combination. In G.S. Maddala and C.R. Rao (eds.) Handbook of Statistics 14, 241-68.
    • (1995) Handbook of Statistics , vol.14 , pp. 241-268
    • Diebold, F.X.1    Lopez, J.A.2
  • 14
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root.
    • Elliott, G., T.J. Rothenberg, and J.H. Stock (1996). Efficient tests for an autoregressive unit root. Econometrica 64, 813-36.
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 15
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica
    • Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50, 987-1008.
    • (1982) , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 16
    • 0000013567 scopus 로고
    • Co-integration and error correction: representation, estimation and testing.
    • Engle, R.F., and C.W.J. Granger (1987). Co-integration and error correction: representation, estimation and testing. Econometrica 55, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 17
    • 0011515522 scopus 로고
    • Evaluating the predictive accuracy of econometric models.
    • Fair, R.C. (1980). Evaluating the predictive accuracy of econometric models. International Economic Review 21, 355-78.
    • (1980) International Economic Review , vol.21 , pp. 355-378
    • Fair, R.C.1
  • 18
    • 0003067505 scopus 로고
    • Estimating regression models of finite but unknown order.
    • Geweke, J., and R. Meese (1981). Estimating regression models of finite but unknown order. International Economic Review 22, 55-70.
    • (1981) International Economic Review , vol.22 , pp. 55-70
    • Geweke, J.1    Meese, R.2
  • 19
    • 0032251520 scopus 로고    scopus 로고
    • Foundations of the Goldilocks economy: supply shocks and the time- varying NAIRU.
    • Gordon, R.J. (1998). Foundations of the Goldilocks economy: supply shocks and the time- varying NAIRU. Brookings Papers on Economic Activity 2, 297-333.
    • (1998) Brookings Papers on Economic Activity , vol.2 , pp. 297-333
    • Gordon, R.J.1
  • 20
    • 0348242861 scopus 로고
    • Prediction with a generalized cost of error function.
    • Granger, C.W.J. (1969). Prediction with a generalized cost of error function. Operational Research Quarterly 20, 199-207.
    • (1969) Operational Research Quarterly , vol.20 , pp. 199-207
    • Granger, C.W.J.1
  • 21
    • 84984516669 scopus 로고
    • Combining forecasts - twenty years later.
    • Granger, C.W.J. (1989). Combining forecasts - twenty years later. Journal of Forecasting 8, 167-73.
    • (1989) Journal of Forecasting , vol.8 , pp. 167-173
    • Granger, C.W.J.1
  • 22
    • 0003664106 scopus 로고
    • Forecasting Economic Time Series, 2nd edn.
    • Orlando: Academic Press
    • Granger, C.W.J., and P. Newbold (1986). Forecasting Economic Time Series, 2nd edn. Orlando: Academic Press.
    • (1986)
    • Granger, C.W.J.1    Newbold, P.2
  • 23
    • 0003837677 scopus 로고
    • Modelling Non-linear Economic Relationships.
    • Oxford: Oxford University Press
    • Granger, C.W.J., and T. Teräsvirta (1993). Modelling Non-linear Economic Relationships. Oxford: Oxford University Press.
    • (1993)
    • Granger, C.W.J.1    Teräsvirta, T.2
  • 24
    • 0000601538 scopus 로고
    • Modeling nonlinearity over the business cycle.
    • In J.H. Stock and M.W. Watson (eds.) Chicago: University of Chicago Press for the NBER
    • Granger, C.W.J., T. Teräsvirta, and H.M. Anderson (1993). Modeling nonlinearity over the business cycle. In J.H. Stock and M.W. Watson (eds.) Business Cycles, Indicators, and Forecasting, pp. 311-27. Chicago: University of Chicago Press for the NBER.
    • (1993) Business Cycles, Indicators, and Forecasting , pp. 311-327
    • Granger, C.W.J.1    Teräsvirta, T.2    Anderson, H.M.3
  • 25
    • 0003410290 scopus 로고
    • Time Series Analysis.
    • Princeton: Princeton University Press
    • Hamilton, J.D. (1994). Time Series Analysis. Princeton: Princeton University Press.
    • (1994)
    • Hamilton, J.D.1
  • 26
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle.
    • Hamilton, J.D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-84.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 27
    • 0003578943 scopus 로고
    • Forecasting, Structural Time Series Models and the Kalman Filter.
    • Cambridge: Cambridge University Press
    • Harvey, A.C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press.
    • (1989)
    • Harvey, A.C.1
  • 28
    • 0003561629 scopus 로고    scopus 로고
    • Time-Series-Based Econometrics: Unit Roots and Cointegration.
    • Oxford: Oxford University Press
    • Hatanaka, M. (1996). Time-Series-Based Econometrics: Unit Roots and Cointegration. Oxford: Oxford University Press.
    • (1996)
    • Hatanaka, M.1
  • 29
    • 0003002938 scopus 로고    scopus 로고
    • Tests for cointegration: a Monte Carlo comparison.
    • Haug, A.A. (1996). Tests for cointegration: a Monte Carlo comparison. Journal of Econometrics 71, 89-115.
    • (1996) Journal of Econometrics , vol.71 , pp. 89-115
    • Haug, A.A.1
  • 30
    • 0004272962 scopus 로고
    • Dynamic Econometrics.
    • Oxford: Oxford University Press
    • Hendry, D.F. (1995). Dynamic Econometrics. Oxford: Oxford University Press.
    • (1995)
    • Hendry, D.F.1
  • 31
    • 0039573714 scopus 로고    scopus 로고
    • Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching.
    • Kim, C.-J., and C.R. Nelson (1998). Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching. Review of Economics and Statistics 80, 188-201.
    • (1998) Review of Economics and Statistics , vol.80 , pp. 188-201
    • Kim, C.-J.1    Nelson, C.R.2
  • 32
    • 0003526620 scopus 로고    scopus 로고
    • State-Space Models with Regime Switching: Classical and Gibbs Sampling Approaches with Applications.
    • Cambridge: MIT Press
    • Kim, C.-J., and C.R. Nelson (1999). State-Space Models with Regime Switching: Classical and Gibbs Sampling Approaches with Applications. Cambridge: MIT Press.
    • (1999)
    • Kim, C.-J.1    Nelson, C.R.2
  • 33
    • 0003611102 scopus 로고
    • Introduction to Multiple Time Series Analysis, 2nd edn.
    • New York: Springer-Verlag
    • Lütkepohl, H. (1993). Introduction to Multiple Time Series Analysis, 2nd edn. New York: Springer-Verlag.
    • (1993)
    • Lütkepohl, H.1
  • 34
    • 0000663579 scopus 로고
    • The role of judgment in macroeconomic forecasting accuracy.
    • McNees, S.K. (1990). The role of judgment in macroeconomic forecasting accuracy. International Journal of Forecasting 6, 287-99.
    • (1990) International Journal of Forecasting , vol.6 , pp. 287-299
    • McNees, S.K.1
  • 35
    • 0001210302 scopus 로고
    • A comparison of autoregressive univariate forecasting procedures for macroeconomic time series.
    • Meese, R., and J. Geweke (1984). A comparison of autoregressive univariate forecasting procedures for macroeconomic time series. Journal of Business and Economic Statistics 2, 191-200.
    • (1984) Journal of Business and Economic Statistics , vol.2 , pp. 191-200
    • Meese, R.1    Geweke, J.2
  • 36
    • 0012841275 scopus 로고
    • Statistical Indicators of Cyclical Revivals.
    • Princeton: Princeton University Press, 1961. New York. Reprinted in G.H. Moore (ed.) Business Cycle Indicators.
    • Mitchell, W.C., and A.F. Burns (1938). Statistical Indicators of Cyclical Revivals. NBER Bulletin 69, New York. Reprinted in G.H. Moore (ed.) Business Cycle Indicators. Princeton: Princeton University Press, 1961.
    • (1938) NBER Bulletin , vol.69
    • Mitchell, W.C.1    Burns, A.F.2
  • 37
    • 0004027439 scopus 로고
    • The Leading Economic Indicators: New Approaches and Forecasting Records.
    • Cambridge: Cambridge University Press
    • Moore, G., and K. Lahiri (eds.) (1991). The Leading Economic Indicators: New Approaches and Forecasting Records. Cambridge: Cambridge University Press.
    • (1991)
    • Moore, G.1    Lahiri, K.2
  • 38
    • 0032386479 scopus 로고    scopus 로고
    • Forecasting the U.S. unemployment rate. Journal of the American Statistical Association
    • Montgomery, A.L., V. Zarnowitz, R.S. Tsay, and G.C. Tiao (1998). Forecasting the U.S. unemployment rate. Journal of the American Statistical Association 93, 478-93.
    • (1998) , vol.93 , pp. 478-493
    • Montgomery, A.L.1    Zarnowitz, V.2    Tsay, R.S.3    Tiao, G.C.4
  • 39
    • 0000962634 scopus 로고
    • The prediction performance of the FRB-MIT-PENN model of the U.S. economy. American Economic Review
    • Nelson, C.R. (1972). The prediction performance of the FRB-MIT-PENN model of the U.S. economy. American Economic Review 62, 902-17.
    • (1972) , vol.62 , pp. 902-917
    • Nelson, C.R.1
  • 40
    • 21844518679 scopus 로고
    • Unit root tests in ARMA models with data dependent methods for the truncation lag.
    • Ng, S., and P. Perron (1995). Unit root tests in ARMA models with data dependent methods for the truncation lag. Journal of the American Statistical Association 90, 268-81.
    • (1995) Journal of the American Statistical Association , vol.90 , pp. 268-281
    • Ng, S.1    Perron, P.2
  • 41
    • 0003547774 scopus 로고
    • Non-linear and Non-stationary Time Series Analysis.
    • London: Academic Press.
    • Priestly, M.B. (1989). Non-linear and Non-stationary Time Series Analysis. London: Academic Press.
    • (1989)
    • Priestly, M.B.1
  • 42
    • 0003703533 scopus 로고
    • Elements of Multivariate Time Series Analysis.
    • New York: Springer- Verlag
    • Reinsel, G.C. (1993). Elements of Multivariate Time Series Analysis. New York: Springer- Verlag.
    • (1993)
    • Reinsel, G.C.1
  • 43
    • 0003623809 scopus 로고
    • Stable Non-Gaussian Random Processes.
    • New York: Chapman & Hall
    • Samorodnitsky, G., and M.S. Taqqu (1994). Stable Non-Gaussian Random Processes. New York: Chapman & Hall.
    • (1994)
    • Samorodnitsky, G.1    Taqqu, M.S.2
  • 44
    • 0000120766 scopus 로고
    • Estimating the dimension of a model.
    • Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics 6, 461- 64.
    • (1978) Annals of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 45
    • 0000997472 scopus 로고
    • Macroeconomics and reality.
    • Sims, C.A. (1980). Macroeconomics and reality. Econometrica 48, 1-48.
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.A.1
  • 46
    • 0003697404 scopus 로고
    • A nine-variable probabilistic macroeconomic forecasting model.
    • In J.H. Stock and M.W. Watson (eds.) Chicago: University of Chicago Press for the NBER
    • Sims, C.A. (1993). A nine-variable probabilistic macroeconomic forecasting model. In J.H. Stock and M.W. Watson (eds.) Business Cycles, Indicators and Forecasting. Chicago: University of Chicago Press for the NBER.
    • (1993) Business Cycles, Indicators and Forecasting.
    • Sims, C.A.1
  • 47
    • 70350105390 scopus 로고
    • Unit roots, structural breaks, and trends.
    • In R. Engle and D. McFadden (eds.) Amsterdam: Elsevier
    • Stock, J.H. (1994). Unit roots, structural breaks, and trends. In R. Engle and D. McFadden (eds.) Handbook of Econometrics, Volume 4, pp. 2740-843. Amsterdam: Elsevier.
    • (1994) Handbook of Econometrics, Volume 4 , pp. 2740-2843
    • Stock, J.H.1
  • 48
    • 17644393590 scopus 로고    scopus 로고
    • VAR, error correction and pretest forecasts at long horizons
    • Reprinted in A. Banerjee and D.F. Hendry (eds.) The Econometrics of Economic Policy, pp. 115-32. Oxford: Basil Blackwell, 1997.
    • Stock, J.H. (1996). VAR, error correction and pretest forecasts at long horizons, Oxford Bulletin of Economics and Statistics 58, 685-701. Reprinted in A. Banerjee and D.F. Hendry (eds.) The Econometrics of Economic Policy, pp. 115-32. Oxford: Basil Blackwell, 1997.
    • (1996) Oxford Bulletin of Economics and Statistics , vol.58 , pp. 685-701
    • Stock, J.H.1
  • 49
    • 0000076932 scopus 로고
    • New indexes of coincident and leading economic indicators.
    • Stock, J.H., and M.W. Watson (1989). New indexes of coincident and leading economic indicators. NBER Macroeconomics Annual 351-93.
    • (1989) NBER Macroeconomics Annual , pp. 351-393
    • Stock, J.H.1    Watson, M.W.2
  • 50
    • 0030528942 scopus 로고    scopus 로고
    • Evidence on structural instability in macroeconomic time series relations.
    • Stock, J.H., and M.W. Watson (1996). Evidence on structural instability in macroeconomic time series relations. Journal of Business and Economic Statistics, 14, 11-30.
    • (1996) Journal of Business and Economic Statistics , vol.14 , pp. 11-30
    • Stock, J.H.1    Watson, M.W.2
  • 51
    • 0032340180 scopus 로고    scopus 로고
    • Median unbiased estimation of coefficient variance in a time varying parameter model.
    • Stock, J.H., and M.W. Watson (1998). Median unbiased estimation of coefficient variance in a time varying parameter model. Journal of the American Statistical Association 93, 349-58.
    • (1998) Journal of the American Statistical Association , vol.93 , pp. 349-358
    • Stock, J.H.1    Watson, M.W.2
  • 52
    • 0012675693 scopus 로고    scopus 로고
    • A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series.
    • Chapter 1 in R. Engle and H. White (eds.) Oxford: Oxford University Press
    • Stock, J.H., and M.W. Watson (1999a). A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series. Chapter 1 in R. Engle and H. White (eds.) Cointegration, Causality and Forecasting: A Festschrift for C.W.J. Granger. Oxford: Oxford University Press, 1-44.
    • (1999) Cointegration, Causality and Forecasting: A Festschrift for C.W.J. Granger. , pp. 1-44
    • Stock, J.H.1    Watson, M.W.2
  • 53
    • 77956750491 scopus 로고    scopus 로고
    • Business cycle fluctuations in U.S. macroeconomic time series.
    • Chapter 1 in J. Taylor and M. Woodford (eds.) Amsterdam: Elsevier
    • Stock, J.H., and M.W. Watson (1999b). Business cycle fluctuations in U.S. macroeconomic time series. Chapter 1 in J. Taylor and M. Woodford (eds.) Handbook of Macroeconomics. Amsterdam: Elsevier, 3-64.
    • (1999) Handbook of Macroeconomics. , pp. 3-64
    • Stock, J.H.1    Watson, M.W.2
  • 54
    • 21844518145 scopus 로고
    • A model selection approach to assessing the information in the term structure using linear models and artificial neural networks.
    • Swanson, N.R., and H. White (1995). A model selection approach to assessing the information in the term structure using linear models and artificial neural networks. Journal of Business and Economic Statistics 13, 265-75.
    • (1995) Journal of Business and Economic Statistics , vol.13 , pp. 265-275
    • Swanson, N.R.1    White, H.2
  • 55
    • 0031329532 scopus 로고    scopus 로고
    • A model selection approach to real-time macro- economic forecasting using linear models and artificial neural networks.
    • Swanson, N.R., and H. White (1997). A model selection approach to real-time macro- economic forecasting using linear models and artificial neural networks. Review of Economics and Statistics 79, 540-50.
    • (1997) Review of Economics and Statistics , vol.79 , pp. 540-550
    • Swanson, N.R.1    White, H.2
  • 56
    • 70350105389 scopus 로고
    • Vector autoregressions and cointegration.
    • In R. Engle and D. McFadden (eds.) Amsterdam: Elsevier
    • Watson, M.W. (1994). Vector autoregressions and cointegration. In R. Engle and D. McFadden (eds.) Handbook of Econometrics, Volume 4, pp. 2844-915. Amsterdam: Elsevier.
    • (1994) Handbook of Econometrics, Volume 4 , pp. 2844-2915
    • Watson, M.W.1
  • 57
    • 0002914571 scopus 로고
    • On predictive least squares principles.
    • Wei, C.Z. (1992). On predictive least squares principles. The Annals of Statistics 20, 1-42.
    • (1992) The Annals of Statistics , vol.20 , pp. 1-42
    • Wei, C.Z.1
  • 58
    • 0030353235 scopus 로고    scopus 로고
    • Asymptotic inference about predictive ability.
    • West, K. (1996). Asymptotic inference about predictive ability. Econometrica 64, 1067-84.
    • (1996) Econometrica , vol.64 , pp. 1067-1084
    • West, K.1
  • 59
    • 38249000331 scopus 로고
    • A utility based evaluation of some models of exchange rate variability.
    • West, K., H.J. Edison, and D. Cho (1993). A utility based evaluation of some models of exchange rate variability. Journal of International Economics 35, 23-46.
    • (1993) Journal of International Economics , vol.35 , pp. 23-46
    • West, K.1    Edison, H.J.2    Cho, D.3
  • 60
    • 0002967545 scopus 로고
    • Twenty-two years of the NBER-ASA quarterly economic outlook surveys: aspects and comparisons of forecasting performance.
    • In J.H. Stock and Watson (eds.) Chicago: University of Chicago Press for the NBER.
    • Zarnowitz, V., and Braun (1993). Twenty-two years of the NBER-ASA quarterly economic outlook surveys: aspects and comparisons of forecasting performance. In J.H. Stock and Watson (eds.) Business Cycles, Indicators and Forecasting. Chicago: University of Chicago Press for the NBER.
    • (1993) Business Cycles, Indicators and Forecasting.
    • Zarnowitz, V.1    Braun2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.