영문목차

Acknowledgements=vii

Introduction Terence Mills=ix

PART I. EARLY ATTEMPTS=3

1. 'Some Fundamental Concepts of Statistics', Journal of the American Statistical Association, XIX (145), March, 1-8/Warren M. Persons (1924)=3

2. 'Paradise Lost and Refound: The Harvard ABC Barometers', Journal of Portfolio Management, 4, Spring, 4-9/Paul A. Samuelson (1987)=11

3. 'Morgenstern on the Methodology of Economic Forecasting', Journal of Political Economy, XXXVII (3), June, 312-39/Arthur W. Marget (1929)=17

PART II. MACROECONOMIC FORECASTING AND POLICY MAKING=47

4. 'The Position of Economics and Economists in the Government Machine: A Comparative Critique of the United Kingdom and the Netherlands', Economic Journal, LXIV (256), December, 759-83/R.L. Marris (1954)=47

5. 'Forecasting and Analysis with an Econometric Model', American Economic Review, LII (1), March, 104-32/Daniel B. Suits (1962)=72

6. 'Economic Forecasting', Economic Journal, LXXIX (316), December, 797-812/Alec Cairncross (1969)=101

7. 'The Role of Macroeconometric Models in Forecasting and Policy Analysis in the United States', Journal of Forecasting, 1 (1), 37-48/Stephen K. McNees (1982)=117

8. 'The Interpretation and Use of Economic Predictions' and discussion, Proceedings of the Royal Society of London, Series A, 407, 103-25/Sir Terence Burns (1986)=129

9. 'Macroeconomic Forecasting: A Survey,' in Andrew J. Oswald (ed.), Surveys in Economics, Volume I, Chapter 2, Oxford: Basil Blackwell Ltd, 48-81/Kenneth F. Wallis (1991)=152

PART III. TIME SERIES FORECASTING=189

10. 'Lagged Relationships in Economic Forecasting' and discussion, Journal of the Royal Statistical Society, Series A, 132 (1), 133-63/P.J. Coen;E.D. Gomme;M.G. Kendall (1969)=189

11. 'Dynamic Equations for Economic Forecasting with the G.D.P.-Unemployment Relation and the Growth of G.D.P. in the United Kingdom as an Example' and discussion, Journal of the Royal Statistical Society, Series A, 134 (2), 167-227/Jeremy Bray (1971)=220

12. 'Some Comments on a Paper of Coen, Gomme and Kendall', Journal of the Royal Statistical Society, Series A, 134 (2),229-40/George E.P. Box and Paul Newbold (1971)=281

13. 'Experience with Forecasting Univariate Time Series and the Combination of Forecasts' and discussion, Journal of the Royal Statistical Society, Series A, 137 (2), 131-64/P. Newbold;C.W.J. Granger (1974)=293

14. 'A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series', Journal of Business and Economic Statistics,2 (3), July, 191-200/Richard Meese;John Geweke (1984)=327

15. 'Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study', comments by Craig F. Ansley, David F. Findley and Paul Newbold and 'Response' by A.C. Harvey and P.H.J. Todd, Journal of Business and Economic Statistics, 1 (4), October, 299-315/A.C. Harvey;P.H.J. Todd (1983)=337

16. 'Forecasting With Bayesian Vector Autoregressions - Five Years of Experience', Journal of Business and Economic Statistics, 4 (1), January, 25-38/Robert B. Litterman (1986)=354

17. 'Forecasting with Generalized Bayesian Vector Autoregressions', Journal of Forecasting, 12, 365-78/K. Rao Kadiyala;Sune Karlsson (1993)=386

18. 'Forecasting from Non-linear Models in Practice', Journal of Forecasting, 13 (1), January, 1-9/Jin-Lung Lin;C.W.J. Granger (1994)=400

19. 'Forecasting in the 1990s', The Statistician, 46 (4), 461-73/Chris Chatfield (1997)=409

PART IV. THE ECONOMETRICS OF FORECASTING=425

20. 'Prediction in Dynamic Models with Time-dependent Conditional Variances', Journal of Econometrics, 52, 91-113/Richard T. Baillie;Tim Bollerslev (1992)=425

21. 'On the Limitations of Comparing Mean Square Forecast Errors' , Journal of Forecasting, 12, 617-37/Michael P. Clements;David F. Hendry (1993)=448

22. 'Forecasting in Cointegrated Systems', Journal of Applied Econometrics, 10, 127-46/Michael P. Clements;David F. Hendry (1995)=469

23. 'The Econometrics of Macroeconomic Forecasting', Economic Journal, 107 (444), September, 1330-57/David F. Hendry (1997)=489

Name Index=517

2

영문목차

Acknowledgements=ix

An Introduction by the editor to both volumes appears in Volume=I

PART I. FORECAST EVALUATION=3

1. 'Forecasting Short-term Economic Change', Journal of the American Statistical Association, 64 (325),March, 1-22Geoffrey/H. Moore (1969)=3

2. 'An Analysis of Annual and Multiperiod Quarterly Forecasts of Aggregate Income, Output, and the Price Level', Journal of Business, 52(1), 1-33/Victor Zamowitz (1979)=25

3. 'Forecasting with Econometric Models: An Evaluation', Econometrica, 36(3-4), July-October, 437-63/H.O. Stekler(1968)=58

4. 'The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy', American Economic Review, 62, December, 902-17/Charles R. Nelson (1972)=85

5. 'The Combination of Forecasts', Operational Research Quarterly, 20 (4), 451-68/a.J.M. Bates;b.C.W.J. Granger(1969)=101

6. 'Some Comments on the Evaluation of Economic Forecasts', Applied Economics,5 (1),March, 35-47 /a.C.W.J. Granger;b.P. Newbold (1973)=119

7. 'Combining Forecasts: A Review and Annotated Bibliography', International Journal of Forecasting,S (4),559-83/Robert T. Clemen (1989)=132

8. 'Notes on Testing the Predictive Performance of Econometric Models', International Economic Review, 15 (2),June, 366-83/a.E. Philip Howrey;b.Lawrence R. Klein;c.Michael D. McCarthy(1974)=157

9. 'An Evaluation of a Short-run Forecasting Model', International Economic Review, 15 (2), June, 285-303/Ray C. Fair (1974)=175

10. 'An Analysis of the Accuracy of Four Macroeconometric Models', Journal of Political Economy, 87 (4),August, 701-18Ray/C. Fair (1979)=194

11. 'Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts' , Journal of Business and Economic Statistics, 4 (1), January, 5-15 Stephen K. McNees (1986)212

12. 'The Lead and Accuracy of Macroeconomic Forecasts', Journal of Macroeconomics, 12 (1),Winter, 111-23/a.R.A. Kolb;b.H.O. Stekler (1990)=223

13. 'Forecaster Ideology,Forecasting Technique, and the Accuracy of Economic Forecasts' ,International Journal of Forecasting, 6 (1), 3-10/a.Roy Batchelor;b.Pami Dua(1990)=236

14. 'The Uses and Abuses of "Consensus" Forecasts', Journal of Forecasting, 11, 703-10/Stephen K. McNees (1992)=244

15. 'Economic Forecast Evaluation: Profits Versus the Conventional Error Measures' ,American Economic Review, 81 (3), June, 580-90/a.Gordon Leitch;b.J. Ernest Tanner (1991)=252

16. 'Comparing Predictive Accuracy', Journal of Business and Economic Statistics,13 (3), July, 253-63/a.Francis X. Diebold;b.Roberto S. Mariano (1995)=263

17. 'Tests for Forecast Encompassing' , Journal of Business and Economic Statistics, 16 (2), April, 254-9/a.David I. Harvey;b.Stephen J. Leybourne;c.Paul Newbold(1998)=274

18. 'Can We Improve the Perceived Quality of Economic Forecasts?', Journal of Applied Econometrics, 11,455-73/Clive W.J. Granger (1996)=280

PART II. FORECASTING WITH LEADING INDICATORS=301

19. 'Forecasting Industrial Production - Leading Series Versus Autoregression', Journal of Political Economy, LXVII (4), August, 402-9/a.S.S. Alexander;b.H.G. Stekler (1959)=301

20. 'On the Use of Leading Indicators to Predict Cyclical Turning Points' and 'Comments and Discussion' ,Brookings Papers on Economic Activity, 2, 339-84/Saul H. Hymans (1973)=309

21. 'The Index of Leading Indicators:"Measurement Without Theory", Thirty-five Years Later', Review of Economics and Statistics, LXIV (4), November, 589-95/Alan J. Auerbach (1982)=355

22. 'Forecasting Output With the Composite Leading Index: A Real-time Analysis',Journal of the American Statistical Association, 86 (415),September, 603-10/a.Francis X. Diebold;b.Glenn D. Rudebusch (1991)=362

23. 'An Evaluation of Forecasting Using Leading Indicators', Journal of Forecasting,15 (4), July, 271-91/a.Rebecca A. Emerson;b.David F. Hendry (1996)=370

PART III. FORECASTING IN FINANCE=393

24. 'Can Stock Market Forecasters Forecast?' , Econometrica, 1 (3), July, 309-24/Alfred Cowles 3rd (1933)=393

25. 'Stock-market "Patterns" and Financial Analysis: Methodological Suggestions', Journal of Finance, XIV(1), March, 1-10/Harry V. Roberts (1959)=409

26. 'Analysis of Stock Market Price Data',Bulletin of the Institute of Mathematics and its Applications, 8,August, 229-32/C.W.J. Granger (1972)=419

27. 'Forecasting Stock Market Prices: Lessons for Forecasters', International Journal of Forecasting, 8,3-13/Clive W.J. Granger (1992)=427

28. 'Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities', Review of Financial Studies, 6 (2),293-326/a.Christopher G. Lamoureux;b.William D. Lastrapes (1993)=438

29. 'Forecasting Volatility and Option Prices of the S&P 500 Index', Journal of Derivatives, 2, Fall, 17-30/a.Jaesun Noh, Robert F. Engle;b.Alex Kane (1994)=472

30. 'Forecasting Volatility in Commodity Markets', Journal of Forecasting, 14 (2), March, 77-95/a.Kenneth F. Kroner;b.Kevin P. Kneafsey/c.Stijn Claessens (1995)=486

31. 'The Predictive Ability of Several Models of Exchange Rate Volatility', Journal of Econometrics, 69, 367-91/a.Kenneth D. West;b.Dongchul Cho (1995)=505

32. 'An Assessment of the Economic Value of Non-linear Foreign Exchange Rate Forecasts', Journal of Forecasting, 14 (6), 477-97/a.Steve Satchell;b.Allan Timmermann (1995)=530

PART IV. ECONOMIC FORECASTING USING SURVEYS=553

33. 'Forecasting Accuracy of the McGraw-Hill Anticipatory Data', Journal of the American Statistical Association, 69 (348), December, 849-58/a.Richard D. Rippe;b.Maurice Wilkinson (1974)=553

34. 'A Study of Price Forecasts' , Annals of Economic and Social Measurement, 6 (1), Winter, 27-56/John A. Carlson (1977)=563

35. 'Rational Expectations and Macroeconomic Forecasts', Journal of Business and Economic Statistics, 3 (4), October, 293-311/Victor Zarnowitz (1985)=593

Name Index=613