Journal
INTERNATIONAL JOURNAL OF FORECASTING
Volume 22, Issue 3, Pages 443-473Publisher
ELSEVIER
DOI: 10.1016/j.ijforecast.2006.01.001
Keywords
accuracy measures; ARCH; ARIMA; combining; count data; densities; exponential smoothing; Kalman filter; long memory; multivariate; neural nets; nonlinearity; prediction intervals; regime-switching; robustness; seasonality; state space; structural models; transfer function; univariate; VAR
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We review the past 25 years of research into time series forecasting. In this silver jubilee issue, we naturally highlight results published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985 and International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these journals concerned time series forecasting. We also review highly influential works on time series forecasting that have been published elsewhere during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field. (c) 2006 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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