Forecasting In Econometrics: Editors’ Introduction  

Oleh:

Newbold, Paul ; Smith, Richard J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 4 no. 1 (2001), page 1.
Fulltext: 1.pdf (38.56KB)

Isi artikel

The papers in this Symposium arose from the ninth meeting of the EC2 (European Conferences of the Econom[etr]ics Community) Conference held at the Stockholm School of Economics, December 17–19, 1998. The conference theme was ‘Forecasting in Econometrics’ with Timo Terasvirta as Local Organiser and Paul Newbold as the Programme Chair. Five invited papers and 10 contributed papers were presented in plenary sessions. In addition, there were two poster sessions, containing a total of 46 further papers. The conference was attended by over 100 delegates. Invited papers were presented by internationally eminent scholars in the field of forecasting: Clive Granger (University of California, San Diego), Henk Don (Netherlands Bureau for Economic Policy Analysis), Svend Hylleberg (University of Aarhus), David Hendry (Oxford University), and Frank Diebold (University of Pennsylvania). Contributed papers were presented by authors based in Italy, Austria, Sweden, Canada, Netherlands, Belgium, the US and the UK. The 15 plenary session papers covered a broad range of topics in econometric forecasting. The more theoretical topics included evaluation of models and forecasts, estimating cointegrating rank in vector autoregressions, Markov-switching vector autoregressive processes, nonlinear models and forecast performance, volatility forecasting, an explanation of the results of ‘forecasting competitions’, forecasting discrete valued series, and the relationship between testing and forecasting. Applied topics included track record of fiscal forecasts, macroeconomic forecasting from a practitioner’s viewpoint, forecasting with a leading indicator, forecasting business cycle turning points, calendar effects in stock returns, interest rate arbitrage, and forecasting financial crashes.

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