Forecasting has long been a core activity involving most if not all organizations. However, it is only relatively recently that it has become an area of intensive research. The earliest research was based in the core quantitative disciplines of statistics and econometrics. However, prior to 1981 there were relatively few articles whose primary focus was forecasting but with the founding of, first the Journal of Forecasting and then, in 1985, the International Journal of Forecasting, the field rapidly developed its own methodological perspectives. At its heart forecasting is concerned with evaluating alternative approaches to particular forecasting problems. Parts One and Two cover the core methodologies of forecasting. Part Three examines the evaluation of different forecasting methods and how to choose between them. Part Four includes studies that are specific to particular problem areas.

Table of Contents:
VOLUME 1 PART ONE: SMOOTHING PHILOSOPHY Exponential Smoothing: The State of the Art - Everette Gardner Exponential Smoothing With an Adaptive Response Rate - D.W. Trigg and A.G. Leach Forecasting Trends in Time Series - Everette Gardner and Ed McKenzie Integration with Statistical Approaches A New Approach to Linear Filtering and Prediction Problems - Rudolf Kalman Understanding the Kalman Filter - Richard Meinhold and Nozer Singpurwalla Bayesian Forecasting - P.J. Harrison and C.F. Stevens A Unified View of Statistical Forecasting Procedures - Andrew Harvey Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models - Keith Ord, Anne Koehler and Ralph Snyder Univariate Analyses of Time Series Autoregressive Integrated Moving Average Models Box-Jenkins Seasonal Forecasting: Problems in a Case Study with Discussion - Chris Chatfield and David Prothero Outliers, Level Shifts, and Variance Changes in Time Series - Ruey Tsay Unit Root Testing Distribution of the Estimators for Autoregressive Time Series with a Unit Root - David Dickey and Wayne Fuller Trends and Random-Walks in Macroeconomic Time Series: Some Evidence and Implications - Charles Nelson and Charles Plosser Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series have a Unit Root? - Denis Kwiatkowski, Peter Phillips, Peter Schmidt and Yongcheol Efficient Tests for an Autoregressive Unit Root - Graham Elliott, Thomas Rothenberg and James Stock VOLUME 2 Psychologically-Based Approaches Formalising Judgment The Delphi Technique as a Forecasting Tool: Issues and Analysis - Gene Rowe and George Wright Using Segmentation to Improve Sales Forecasts based on Purchase Intent: Which "Intenders" Actually Buy? - Vicki Morwitz and David Schmittlein Bootstrapping (Judgmental Meaning) Clinical Versus Actuarial Judgment - Robyn Dawes, David Faust and Paul Meehl Heuristics and Biases in Forecasting Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk-Taking - Daniel Kahneman and Dan Lovallo Judgment under Uncertainty: Heuristics and Biases - Amos Tversky and Daniel Kahneman Interaction of Judgmental and Statistical Forecasting Methods: Issues and Analysis - Derek Bunn and George Wright Improving Judgment Database Models and Managerial Intuition - 50% Model + 50% Manager - Robert Blattberg and Stephen Hoch Taking Advice: Accepting Help, Improving Judgment, and Sharing Responsibility - Nigel Harvey and Ilan Fischer The Accuracy of Combining Judgmental and Statistical Forecasts - Michael Lawrence, Robert Edmundson and Marcus O′Connor PART TWO: ECONOMETRICS: INTRODUCTION Commentary on the State of the Art Econometrics: Alchemy or Science? - David Hendry Can We Improve the Perceived Quality of Economic Forecasts? - Clive Granger Vector Autoregressions Forecasting With Bayesian Vector Autoregressions: Five Years of Experience - Robert Litterman Cointegration (Merging of TS and Econometrics?) Spurious Regressions in Econometrics - Clive Granger and Paul Newbold Econometric Modeling of the Aggregate Time Series Relationship between Consumers′ Expenditure and Income in the UK - James Davidson, David Hendry, Frank Srba and Stephen Yeo Cointegration and Error Correction: Representation, Estimation, and Testing - Robert Engle and Clive Granger Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money - Soren Johansen and Katarina Juselius VOLUME THREE Computer-Intensive Methods How Effective Are Neural Networks at Forecasting and Prediction? A Review and Evaluation - Monica Adya and Fred Collopy Some Recent Developments in Nonlinear Time-Series Modeling, Testing, and Forecasting - Jan Degooijer and Kuldeep Kumar Forecasting With Artificial Neural Networks: The State of the Art - Guoqiang Zhang, B. Eddy Patuwo and Michael Hu Neural Network Models for Time Series Forecasts - Tim Hill, Marcus O′ Connor and William Remus Neural Networks for Short-Term Load Forecasting: A Review and Evaluation - Henrique Steinherz Hippert, Carlos Eduardo Pedreira and Reinaldo Castro Souza Measurement of Forecast Errors Evaluation of Extrapolative Forecasting Methods: Results of a Survey of Academicians and Practitioners - Robert Carbone and J. Scott Armstrong Error Measures for Generalizing About Forecasting Methods: Empirical Comparisons - J. Scott Armstrong and Fred Collopy Diagnostic Verification of Probability Forecasts - Allan Murphy and Robert Winkler Comparing and Selecting Comparing Predictive Accuracy - Francis Diebold and Roberto Mariano Part Three Forecasting Competitions A Comparison of Forecasting Techniques on Economic Time Series - David Reid Experience with Forecasting Univariate Time Series and the Combination of Forecasts - Paul Newbold and Clive Granger The Accuracy of Extrapolation (Time-Series) Methods - Results of a Forecasting Competition - Spyros Makridakis et al The Impact of Empirical Accuracy Studies On Time-Series Analysis and Forecasting - Robert Fildes & Spyros Makridakis Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample? - Richard Meese and Kenneth Rogoff VOLUME 4 Combining and Encompassing The Combination of Forecasts - John Bates and Clive Granger Combining Forecasts: A Review and Annotated-Bibliography - Robert Clemen Improved Methods of Combining Forecasts - Clive Granger and R. Ramanathan Econometric Evaluation of Linear Macro-Economic Models - Yock Chong and David Hendry Forecasting Distributions Calculating Interval Forecasts - Chris Chatfield Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation - Robert Engle Modeling and Forecasting Realized Volatility - Torben Andersen, Tim Bollerslev, Francis Diebold and Paul Labys Forecasting Volatility in Financial Markets: A Review - Ser-Huang Poon and Clive Granger Forecasting Practice Familiarity, Application, and Performance of Sales Forecasting Techniques - John Mentzer and James Cox Sales Forecasting Practices: Results from a United States Survey - Douglas Dalrymple The Organization and Improvement of Market Forecasting - Robert Fildes and Robert Hastings Planning and Strategy Forecasting and Planning: An Evaluation - Robin Hogarth and Spyros Makridakis When and How to Use Scenario Planning: A Heuristic Approach with Illustration - Paul Schoemaker Part Four Operations Forecasting and Stock Control for Intermittent Demand - J.D. Croston Forecasting Systems for Production and Inventory Control - Robert Fildes and Charles Beard Quantifying the Bullwhip Effect in a Simple Supply Chain: The Impact of Forecasting, Lead Times, and Information - Frank Chen, Zvi Drezner, Jennifer Ryan and David Simchi-Levi VOLUME 5 Marketing A New Product Growth Model for Consumer Durables - Frank Bass Forecasting New Product Penetration with Flexible Substitution Patterns - David Brownstone and Kenneth Train Modeling Consumer Choice among SKUs - Peter Fader and Bruce Hardie Premarket Forecasting Really New Products - Glen Urban, Bruce Weinberg and John Hauser Technology Forecasting A Diffusion Theory Model of Adoption and Substitution for Successive Generations of High-Technology Products - John Norton and Frank Bass Macroeconomic Forecasting Introduction to Leading Economic Indicators: New Approaches and Forecasting Records - Kajal Lahiri and Geoffrey Moore Forecasting Accuracy of Alternative Techniques: A Comparison of United-States Macroeconomic Forecasts - S.K. McNees Forecasting Output with the Composite Leading Index: A Real-Time Analysis - Francis Diebold and Glenn Rudebusch Macroeconomic Forecasting: A Survey - Kenneth Wallis Macroeconomic Forecasting Using Diffusion Indexes - James Stock and Mark Watson Rational Expectations and Macroeconomic Forecasts - V. Zarnowitz Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates - Chung-ki Min and Arnold Zellner Accounting and Finance A Survey of Credit and Behavioural Scoring: Forecasting Financial Risk of Lending to Consumers - Lyn Thomas Financial Ratios, Discriminant Analysis and Prediction of Corporate Bankruptcy - Edward Altman Bankruptcy Prediction Using Neural Networks - Rick Wilson and Ramesh Sharda Predictability of Stock Returns: Robustness and Economic Significance - M. Hashem Pesaran and Allan Timmermann Analysts Forecasts as Earnings Expectations - Patricia O′Brien