I-12 Author Index Miron, J.A. 662, 667, 668, 670 Mishkin, F.S. 930, 948, 949 Mitchell, J. 635, 739n; 741, 744, 745, 764, 769 Mitchell, W. 881, 885, 921, 947 Mitchell, W.C. 881, 884, 888, 891 Mizon, G.E. 608, 899, 934 Mizrach, B. 103 Moauro, F. 897 Moeanaddin, R. 446 Mohanty, S. 599 Molenaar, J. 354 Monaco, R. 524 Monahan, J.C. 105, 116 Monahan, J.F. 38, 57, 58 Moneta, F. 930, 949 Monfardini, C. 829 Monfort, A. 829 Monsell, B.C. 703 Montgomery, A.L. 445–447 Moody, J.E. 172n Moore, G.H. 752, 769, 885, 889, 921, 952 Moore, J.B. 362, 365 Moosa, I.A. 356, 361 Morales, J.A. 51 Morana, C. 698–700 Morgan, J.P. 799 Morgan, W.A. 102 Moriera, M. 592 Morley, J.C. 352 Morozov, S. 25 Morris, C. 520 Morton, K.H. 27 Mouratidis, K. 745 Müller, U. 560, 563 Müller, U.A. 813, 837, 838, 853 Murphy, A.H. 176 Murray, C. 897 Muth, J. 717, 720–722, 726 Muth, J.F. 331 Mykland, P.A. 838, 864 Naert, P.A. 998 Nagler, R.J. 837 Najarian, S. 431 Nakanishi, M. 997 Nandi, S. 798 Nardo, M. 739n Nason, J. 131 Nason, J.M. 863 Neale, A.J. 627 Neftci, S.N. 897, 898, 946, 949 Neglia, F. 535 Nelder, J.A. 394 Nelson, C.R. 352, 403, 533, 581, 883, 900, 909, 914–916, 918 Nelson, D.B. 803, 812, 813, 821, 852, 853 Nerlove, M. 331, 332, 349, 726, 745, 764, 769, 770, 847, 852 Newbold, P. 58, 102, 109, 123, 140, 159, 165, 185, 235, 239, 289–291, 296, 317, 351, 441, 523, 631n; 635 Newey, W.K. 105, 116 Newton, J. 182 Ng, S. 203, 220, 530, 531, 534, 570, 675, 896, 910 Ng, V.K. 803, 812, 847, 852 Nicholls, D.F. 312, 355 Niemira, M.P. 892, 898, 921 Nijman, T. 852, 853 Nijman, T.E. 814 Nijs, V.R. 993 Nikolopoulos, K. 333 Noh, J. 667n; 668, 679 Nolan, D. 482 Novales, A. 683, 686, 690 Nsiri, S. 314, 315 Nyblom, J. 424, 623 Oara, C. 365 O’Brien, J. 797 O’Connell, P.E. 813 Olekalns, N. 421 Olivetti, C. 117, 131, 206, 237, 598 Öller, L. 751, 770 Olsen, R.B. 813, 837 Olsson, U. 764 Orcutt, G. 570 Ord, J.K. 352, 358 Ord, K. 631n; 635 Orlandi, F. 743n Orphanides, A. 976 Orr, A. 742 Osborn, D.R. 359, 630, 662, 665–667, 667n; 668, 669, 671, 679, 683–685, 687–692, 695, 695n; 700–702, 887, 891, 898, 930, 947 Osiewalski, J. 59, 60n Ostdiek, B. 798, 838, 853, 864 Otrok, C. 71, 533, 909 Otto, G. 668 Otto, M.C. 703 Ozaki, T. 420 Ozyildirim, A. 887, 920 Author Index I-13 Paap, R. 685, 687, 690, 991, 993, 997, 998, 1004, 1005, 1009 Pagan, A.R. 103, 114, 116, 355, 431, 623, 812, 890, 932, 936 Pagano, M. 683 Pai, J.S. 57, 58, 60, 60n; 61 Palm, F.C. 24, 54, 55, 139, 178, 181, 182, 291, 311, 812 Palmqvist, S. 763, 769 Pan, J. 200, 207, 798, 829 Panagiotou, H. 24 Papanicolaou, G. 795 Papp, R. 360 Parigi, G. 752, 770 Parkin, M. 739, 741, 752, 769 Parkinson, M. 864 Parmigiani, G. 539, 540 Parzen, E. 182 Pascual, A.G. 107 Pascual, L. 306 Pastor, L. 627n; 630, 813 Patterson, K.D. 383, 979 Patton, A.J. 150, 730, 731, 760, 797, 812, 853, 863, 864, 937 Patuwo, B.E. 416 Pauly, P. 138, 139, 143, 167, 171, 172, 182, 184, 522 Pauwels, K. 993 Paya, I. 420 Payne, J.E. 797 Payne, R. 699 Peel, D. 758 Peel, D.A. 420 Pelletier, D. 852, 863 Peña, D. 406, 527n; 625 Pérez-Amaral, T. 484 Perez-Quiros, G. 813, 905, 912, 913, 915, 927–929, 933, 938, 940, 946 Perez-Ruixo, J.J. 797 Perron, P. 424, 580, 623, 627, 627n; 668n; 675 Persand, G. 812, 851 Pesando, J. 756, 769 Pesaran, B. 317, 564, 565, 574, 614 Pesaran, M.H. 84–86, 88, 138, 150, 167, 222, 235, 317, 424, 447, 627n; 628, 629, 636n; 720, 722, 723n; 728, 730, 731n; 739, 739n; 741n; 742, 743, 752, 757, 763, 769, 853 Peskun, P.H. 31 Petridis, V. 24 Petrou, L. 24 Pettenuzzo, D. 636n Pfann, G.A. 421 Pfeffermann, D. 334, 343 Phillips, K. 635 Phillips, K.R. 885, 949 Phillips, P.C.B. 561, 574, 575, 594, 630, 813 Piazzesi, M. 829 Pictet, O.V. 837 Pierce, D.A. 351 Piette, M.J. 797 Piger, J. 979 Piger, J.M. 890 Pigou, A. 721n Pisier, G. 472 Pistaferri, L. 736n; 796 Pitarakis, J Y. 430 Pitt, M.K. 65, 66, 399 Pitts, M. 65, 828 Plackett, R.L. 43 Planas, C. 343, 381 Ploberger, W. 202, 249, 250, 426, 623, 624, 995 Plosser, C. 581 Pole, A. 53 Politis, D.N. 131, 216n; 245, 248, 264 Polson, N.G. 9, 65, 405, 798, 826, 830 Poncela, P. 527n Poon, S.H. 416 Porter, J.C. 1005 Porter-Hudak, S. 59 Portes, R. 889 Poskitt, D.S. 312, 314, 315 Potter, S.M. 538, 539, 541, 542, 546, 635, 636, 640, 927, 949 Powell, M. 472 Pradel, J. 746, 747 Praet, P. 754, 770 Praetz, P.D. 828 Prais, S. 570 Prat, G. 758 Pratt, J.W. 90 Prescott, E.C. 889 Preuhs, R. 797 Pritsker, M. 797 Proietti, T. 357, 358, 360, 420, 889, 897, 917, 918, 923, 924, 926 Psaradakis, Z. 452 Puctet, O.V. 813 Pukkila, T.M. 312 Qi, M. 928, 949 Quah, D. 528 I-14 Author Index Quandt, R.E. 623 Quenneville, B. 360, 368, 383 Quenouille, M.H. 290 Quinn, B. 480 Racine, J. 482, 483, 489, 493, 494, 509 Radner, R. 721 Raftery, A.E. 15, 60, 179, 536–538 Rahiala, M. 752, 770 Raiffa, H. 90 Raj, B. 635, 899, 934 Ramanathan, R. 23, 145, 158, 521, 748, 933 Ramey, G. 720n Ramirez, O.A. 796 Ramsey, J.B. 416 Rappoport, P. 627 Rasche, R.H. 581, 904 Ravishanker, N. 57–60, 60n; 61 Ravn, M.O. 899 Ray, B.K. 58–61 Raymond, J. 741n; 769 Rech, G. 429 Reichlin, L. 530–535, 546, 627, 889, 895, 896, 911 Reid, D.J. 181 Reimers, H E. 681 Reinsel, G.C. 291, 313, 314, 317, 318, 677 Reis, R. 722n Renault, E. 404, 701, 814, 815, 829, 852 Renfro, C. 812 Reno, R. 838 Rettore, E. 975 Reuyl, J.C. 998 Riani, M. 360 Rich, R. 741n; 750, 769, 796 Richard, J.F. 51, 829, 852 Richardson, M. 828 Richardson, S. 31 Ripley, R.D. 31 Rissanen, J. 480 Ritov, Y. 544 Robbins, H. 542, 544, 545 Robbins, R.P. 798 Roberds, W. 70 Roberts, H.V. 15 Robertson, J.C. 24, 25, 70, 978 Robinson, P.M. 812 Rockinger, M. 853 Rodrigues, A.P. 930, 949 Rodrigues, P.M.M. 667n; 668, 670, 673, 678, 679, 686, 690 Rogers, J. 423 Rogers, J.H. 107, 976 Rogoff, K. 101, 103, 110n; 238, 558 Romano, J.P. 131, 216n; 245, 248, 264, 484 Rombouts, J.V.K. 851 Romer, C. 885 Romer, D. 885 Romijn, G. 683 Romo, J. 306 Rosenberg, B. 332, 355 Rosenblatt, M. 18, 202, 208 Rosenbluth, A.W. 26n; 31, 33 Rosenbluth, M.N. 26n; 31, 33 Rossi, A. 343, 381 Rossi, B. 117, 206, 237, 238, 598 Rossi, P.E. 9, 65, 405, 799, 826, 828, 930, 1002 Rothenberg, T.J. 50, 570, 580 Rothschild, M. 526, 847, 852 Roy, A. 570 Roy, R. 314, 315 Rubin, D.B. 18, 31, 638n Rubio-Ramirez, J.F. 205, 254 Rudebusch, G.D. 636, 883, 898–900, 905, 935, 940, 946, 963 Ruge-Murcia, F.J. 796 Ruiz, E. 306, 405, 406, 699, 829, 852 Runkle, D. 756, 769, 798, 803, 812 Runkle, D.E. 70 Russell, G.J. 995 Russell, J.R. 838, 864 Saikkonen, P. 294, 313, 314, 427, 444 Sala, L. 532, 535 Sampson, M. 318, 564 Sanchez, I. 570 Sánchez, M.J. 625 Sanders, F. 176 Sandmann, G. 829, 830 Santa-Clara, P. 837, 844 Santos, C. 623 Sapp, S. 131, 238, 239n; 249 Sarantis, N. 447 Sargent, T.J. 25, 524, 527, 528, 630, 694, 695, 882, 894 Sarno, L. 122, 238, 419, 421 Satchell, S. 447 Satchell, S.E. 161 Savage, L.J. 18 Schaumburg, E. 305, 678n; 679 Schich, S. 930, 949 Schiff, A.F. 630 Author Index I-15 Schlaifer, R. 90 Schlemper, M. 769 Schlitzer, G. 752, 770 Schmalensee, R. 103, 107, 119, 220 Schmidt, P. 618 Scholer, K. 769 Scholes, M. 818, 853 Schörfheide, F. 205, 254, 317 Schotman, P.C. 46, 421 Schou, G. 58 Schröder, M. 769, 770 Schuh, S. 886 Schwarz, G. 318, 480 Schweppe, F. 331, 332 Schwert, G.W. 798, 813, 837 Scott, A. 359, 360 Scott, L.O. 829 Seetharaman, P.B. 1008 Selchuk, F. 469 Seldon, M. 73 Sen Roy, S. 318 Sensier, M. 930 Sentana, E. 796, 852 Serati, M. 64 Serrano-Lopez, A.J. 797 Sessions, D.N. 138, 168, 523 Shanken, J.A. 797 Shanno, D. 829 Shao, J. 21, 480–482 Shapiro, M. 592 Sharpe, W. 793 Shawky, M.A. 796 Sheather, S. 59 Shephard, E. 829, 852 Shephard, N.S. 8, 65–67, 332, 353, 356, 370, 380, 399, 404–406, 614, 699, 812, 815, 827, 830, 833, 835, 838, 849, 852, 853, 900 Sheppard, K. 846, 852 Shiller, R.J. 45, 592, 728, 769 Shintani, M. 122, 218, 228 Shiskin, J. 885 Shoesmith, G.L. 61–64 Sichel, D.E. 636, 891, 900 Siklos, P.L. 668, 670, 673, 702n Siliverstovs, B. 447 Silos, P. 533 Simpson, P. 887, 891, 930, 947 Simpson, P.W. 930 Sims, C.A. 8, 24, 46, 49, 52, 53, 70, 71, 291, 518, 524, 527, 543, 561, 598, 704, 882, 894, 897, 905, 907 Singh, A.C. 368 Singleton, K.J. 829 Singpurwalla, N.D. 400 Sircar, K.R. 795 Skalin, J. 438, 450 Skouras, S. 84, 86, 88 Smirnov, N. 202 Smith, A.F.M. 12, 20, 31, 37n Smith, G. 898 Smith, J. 203, 208, 637n; 693, 739n; 743, 751, 752, 770 Smith, J.P. 667n; 683, 690 Smith, J.R. 359 Smith, R. 739n; 741, 744, 751, 752, 757, 764, 769 Smith, R.J. 667, 668, 910 Smith, R.L. 396, 686 Smith, T. 828 Smith Jr., A.A. 829 Smyth, D.J. 55 Snyder, R.D. 352, 358, 391 Söderlind, P. 750, 769 Soderlind, P. 796 Sola, M. 899 Solnik, B. 852 Soloviev, A. 929 Song, F. 599 Sørensen, B.E. 829 Sørensen, N.K. 665, 668 Soria-Olivas, E. 797 Souleles, N.S. 765, 769 Sowell, F. 59 Spagnolo, F. 452 Spiegelhaldter, D.J. 31 Srba, F. 361, 634, 680 Srinivasan, S. 993 Srinivasan, V. 1001, 1007 Stambaugh, R.F. 592, 627n; 630, 798, 813, 837 Starica, C. 813 Stark, T. 965, 969–971, 979 Steece, B. 11 Steel, M.F.J. 59, 60n; 536–540 Steenkamp, J B.E.M. 993 Stein, C. 13, 520 Stein, C.M. 45 Stern, H.S. 18, 31 Stevens, C.F. 43, 49, 332, 355 Stiglitz, J. 721 Stinchcombe, M.B. 249, 250, 423, 474, 475, 624, 928 I-16 Author Index Stock, J.H. 117, 119n; 137, 138, 154, 159, 161, 172, 183, 184, 186, 193, 237, 266, 318, 319, 416, 440, 448–451, 522n; 523, 524, 526–528, 530, 531, 534, 545, 547, 548, 550, 560, 561, 565, 570, 575, 580, 581, 585, 590, 592, 593, 598, 599, 622, 623, 630, 631, 635, 639, 882, 883, 887, 888, 890, 893–895, 897, 902, 903, 905, 908–912, 916, 918–920, 922, 925, 927–930, 933, 935, 947, 949, 950 Stock, J.M. 980 Stoffer, D. 368 Stone, J. 744 Stone, M. 480 Storey, J.D. 131, 249 Stram, D.O. 304 Strikholm, B. 430, 692 Stroud, J. 798 Stuetzle, W. 446 Sudhir, K. 1002 Sullivan, R. 243, 493 Summers, P.M. 421 Sunier, A.M. 852 Sutradhar, B. 360 Suzman, R. 736n Swanson, N.R. 101, 115, 117–119, 122, 123, 126, 128, 129, 131, 158, 203–208, 212, 214–216, 218–222, 225, 231, 234, 237, 240, 241, 246, 249, 250n; 251–254, 258, 261, 263–265, 277, 279, 304, 416, 438, 441–443, 448, 489, 490, 598, 630, 640, 928, 935, 946, 976, 978 Takagi, S. 756 Tallman, E.W. 24, 25, 70, 978 Talukdar, D. 1002 Tanizaki, H. 979 Tanner, J.E. 109 Tanner, M.A. 10, 14, 31 Tauchen, G. 65, 825, 828 Tauchen, G.E. 813, 824, 828, 829, 838 Tay, A.S. 23, 203, 206, 207, 207n; 208, 221, 438, 863, 864 Taylor, A.M.R. 667, 667n; 668 Taylor, J.W. 635, 797 Taylor, M.P. 238, 419, 421, 447, 760 Taylor, N. 207n; 306 Taylor, S. 65 Taylor, S.J. 404, 663, 696–698, 701, 798, 812, 816, 821 Teigland, C. 750, 769 Teller, A.H. 26n; 31, 33 Teller, E. 26n; 31, 33 Tellis, G.J. 988, 993–996 Telser, L.G. 304 Temlyakov, V. 471 Teräsvirta, T. 168, 200, 289, 320, 416, 418, 420, 424, 427–430, 433–435, 438, 439, 442–446, 450–452, 461, 639, 692, 749, 752, 770, 927, 934, 1005 Terlizzese, D. 736n; 749 Terrell, R.D. 357 Terui, N. 927 Thaivanich, P. 988, 994, 996 Thaler, R. 592 Theil, H. 47, 83, 633, 739, 743, 769 Thomas, L. 735, 769 Thompson, P.A. 38 Thompson, S.B. 206, 853 Thornton, D.L. 122 Tiao, G.C. 291, 301, 304, 311, 312, 359, 445–447, 625, 627, 635, 637n; 640, 684, 688, 694, 695, 703, 813 Tibshirani, R. 550 Tierney, L. 32, 33 Timmermann, A. 104, 138, 141, 142, 145, 150–153, 155, 160, 161, 164, 167–169, 172n; 182–184, 186, 187, 200, 207, 222, 243, 317, 424, 439, 447, 492, 493, 524, 627n; 628, 629, 636n; 730, 731, 731n; 749, 759, 760, 763, 769, 797, 813, 852, 863, 933, 937, 1010 Tjøstheim, D. 421, 422 Tkacz, G. 206, 214 Tobias, J.L. 13 Tobin, J. 753, 770 Todd, P.H.J. 333 Todd, R. 70 Tong, H. 417, 418, 420, 430, 434, 436, 446, 636, 637n Toro, J. 891, 897 Townsend, R. 722 Tracy, J. 796 Trimbur, T. 344, 370, 381 Trippi, R. 471 Trivellato, U. 975 Troutman, B.M. 683 Tsay, R.S. 291, 311, 315, 416, 445–447, 617, 625, 626, 635, 637n; 640, 677, 812, 813, 915 Tschernig, R. 421 Tse, Y.K. 796, 846 Tsiakas, I. 696, 701 Tsoukalas, C. 864 Tsui, A.K.C. 846 Author Index I-17 Tuckwell, N. 357 Tunnicliffe Wilson, G. 312 Turban, E. 471 Turnbull, S.M. 65, 798, 829 Turner, D.S. 633 Turner, J. 575, 579, 580 Tyssedal, J.S. 421, 422 Tzavaliz, E. 585 Uhlig, H. 889 Ullah, A. 317 Urga, G. 424, 751, 752, 769, 813 Urich, T. 138, 139, 181, 182, 523, 524, 533, 534 Vaccara, B.N. 883, 901 Vahid, F. 927 Valente, G. 122 Valkanov, R. 837 Valkenov, R. 596 van den Bulte, C. 1001, 1006 van der Vaart, A.W. 202 van Dijk, D. 416, 428, 433, 436, 443, 447, 450, 451, 692, 693, 812, 927, 934 van Dijk, H.K. 29, 46, 51, 66, 370, 381 van Nierop, E. 1002 van Norden, S. 976 van Oest, R.D. 991, 995, 996 van Overschee, P. 312 Vanhonacker, W.R. 998 Varian, H. 731 Venetis, I.A. 420 Verbeek, M. 797 Vergote, O. 829 Verleysen, M. 472 Veronese, G. 535, 896 Vesval, A. 851 Viceira, L.M. 829 Vidiella-i-Anguera, A. 447, 448 Vieu, P. 929 Villani, M. 63, 64 Viskanta, T. 852 Visser, H. 354 Vogelsang, T. 570 Volinsky, C.T. 15, 179, 536, 537 von Weizsäcker, J. 813 Vosper, L. 797 Vroomen, B. 994 Vu, V.H. 474 Vuchelen, J. 754, 770 Vuong, Q. 202, 205, 254 Wachtel, P. 756, 757, 769 Wadhwani, S. 796, 852 Wage, S. 331 Waggoner, D.F. 24 Wagner, M. 294, 305, 312 Wahba, G. 469, 480 Wall, K. 368 Wallis, K.D. 203, 207n; 208 Wallis, K.F. 23, 291, 311, 365, 438, 610, 633, 635, 704 Walsh, C.E. 905 Wang, J. 946 Wang, J.G. 636 Wang, L. 798 Wascher, W. 360 Watanabe, T. 405 Watson, M.W. 117, 119n; 137, 138, 154, 159, 161, 172, 183, 184, 186, 193, 237, 266, 318, 319, 416, 424, 440, 448–451, 522n; 523, 524, 526–528, 530, 531, 534, 545, 547, 548, 550, 561, 570, 581, 585n; 586, 598, 630, 631, 635, 639, 882, 883, 887, 888, 890, 893–895, 897, 902, 903, 905, 908–912, 916, 918–920, 922, 925, 927, 928, 930, 931, 933, 935, 947, 949, 950, 980 Watts, D.G. 418 Weale, M. 739n; 741, 744, 745, 751, 752, 764, 769 Weale, M.R. 910 Wecker, W. 10 Wecker, W.E. 425, 906 Wedel, M. 1002 Wei, C.Z. 626 Wei, W.W.S. 294, 304 Weil, P. 889 Weinbach, G.C. 635, 636, 899 Weiss, A.A. 23, 250, 304, 813 Weiss, M. 365 Wellner, J.A. 544 Wells, C. 355 Wells, J.M. 683, 690 Werker, B.J.M. 814, 820 Wertz, V. 472 Wesche, K. 931, 950 West, K.D. 103–105, 108, 109, 111, 112, 115, 116, 119, 121–123, 125, 128, 158, 202, 205–207, 223, 229, 230, 234n; 235, 237, 238, 277, 278, 441, 797, 854, 863, 935 West, M. 14, 53, 83, 84, 332, 348n; 852 Westfall, P. 484 I-18 Author Index Weverbergh, M. 998 Whang, Y.J. 214, 245, 248n; 264 Whitcher, B. 469 White, A. 65, 404, 795, 819, 829 White, D.J. 83 White, H. 104, 105, 112, 117, 124, 124n; 130, 131, 170, 202, 205, 206, 207n; 218, 222, 222n; 243–246, 249, 250, 250n; 254, 254n; 255, 422, 423, 429, 442, 443, 452, 462, 463, 465, 466, 471, 474, 475, 484, 489, 490, 493, 624, 630, 635, 639, 640, 643, 797, 863, 928, 978 Whitelaw, R.F. 798 Whiteman, C.H. 11, 24, 25, 68, 71, 72, 533, 906, 909 Whitemann, C. 179 Whitley, J.D. 633 Whittle, P. 663 Wickhauser, M. 471 Wieringa, J.E. 1005 Wiggins, J.B. 829 Williams, E. 484 Williams, J. 750, 853 Williams, J.C. 976 Wilson, D. 764, 769 Wilson, E.B. 101 Wilton, P.C. 160, 162, 182 Winkelmann, K. 851 Winkler, R.L. 23, 138, 139, 145, 154n; 158, 159, 176, 178, 181–183, 185, 522 Winsten, C.B. 570 Winters, P.R. 331, 337 Wirjanto, T. 668 Wittink, D.R. 1005 Wold, S. 469 Wolf, M. 131, 171–173, 185, 248, 264, 844, 853 Wolfers, J. 722n Wong, H.W. 10, 14, 31 Wong, K.F. 116 Wong, W.H. 39 Wood, E.F. 315 Wooldridge, J.M. 116, 202, 798, 813, 841, 852 Wren-Lewis, S. 739n; 742, 769 Wright, J.H. 107, 542, 546, 838, 976 Wright, S.M. 161 Wu, G. 812 Wu, R.Y. 304 Xu, X. 697 Xu, Y. 431 Yamamoto, T. 317 Yang, Y. 139, 156n Yao, Q. 416, 433 Yap, S.F. 313, 314 Yates, T. 978 Yekutieli, Y. 249, 249n Yeo, J.S. 634 Yeo, S. 361, 680 Yip, P.S.L. 796 Yoo, B.S. 61, 62, 318, 581, 583, 584, 584n; 585, 586, 617, 667, 678 Yoo, J S. 900 York, J. 539 Young, A.H. 702n Young, P. 332 Young, S. 484 Yu, J. 405 Zaffaroni, P. 851, 853 Zakoïan, J M. 803, 812 Zaporowski, M. 750, 769 Zarkesh, F. 731n; 733 Zarnowitz, V. 444–447, 727, 750, 769, 855, 883, 885, 887, 889, 901, 920 Zellner, A. 7, 13, 20, 21, 24, 26, 27, 38, 41–44, 47, 50, 51, 54, 55, 139, 148, 150, 168, 178, 181, 182, 291, 311, 536, 538, 541, 731, 749, 757, 906–908, 930, 932, 934 Zeng, T. 158 Zha, T. 24, 518, 907 Zha, T.A. 52, 53, 70 Zhang, C H. 543 Zhang, G. 416 Zhang, L. 838, 864 Zhang, W. 898 Zheng, J.X. 207n Zhou, B. 837 Zhou, G. 14 Zhou, H. 838 Zhu, Z. 797 Zidek, J. 176, 177 Zivot, E. 352 Zucchini, W. 401 Zumbach, G. 838 SUBJECT INDEX acceptance sampling 27 acceptance–rejection 27 actions 20 “actual” value 970 ad hoc forecasting device 631 adaptive expectations 726 adaptive forecasting 44 additive outlier 625 admissible 520 adoption 986 advertising 985, 986 advertising carryover 987 AGARCH 803 aggregation 294 Akaike information criterion (AIC) 318, 685, 971 amplitude 882 antithetic acceleration 27 antithetic sampling 27 approximate DFM 526 approximation mean squared error 464 Arbitrage Pricing Theory (APT) 847 ARCH 64, 782 ARMA E 292 ARMA E form 307 artificial neural networks 422, 471, 474, 493, 928 asset allocation 793 asymmetric GARCH 803 asymmetric linear loss forecasts 72 asymmetric loss 20, 150, 731, 937 asymmetry 203 asymptotic 101, 204 asymptotically irrelevant 108 asymptotically stationary process 293 attraction model 993 autocovariance function 61 autoregressive (AR) process 56, 289 autoregressive asymmetric moving average model 425 autoregressive conditional heteroskedasticity (ARCH) 429, 614 autoregressive distributed lags model of order (p, m) (ADL(p, m)) 993 autoregressive leading indicator models 54 autoregressive-integrated-moving average model (ARIMA) 348 autoregressive moving average (ARMA) processes 57, 58, 289, 625 auxiliary regression 428 backshift operator 291 balance statistic 739 balanced growth 376 band-pass filter 888 basis functions 468 Bass model 993 Bayes factor 15 Bayesian decision theory 20 Bayesian inference 808 Bayesian integration problem 53 Bayesian model averaging 179, 535, 539 Bayesian technique 906 benchmark 130, 205 benchmark revision 968 benchmark vintages 972 benchmarking 383 bias 101, 580 biased estimates 975, 976 BIC 974 bid–ask bounces effect 857 binary indicator 886 binary model 883 bivariate model 587 Black–Scholes–Merton (BSM) option pricing model 794 blocking 31 Blue Chip Survey of Professional Forecasters 729, 736 bootstrap 101, 202, 637 bootstrap forecast 434 breaks 557 British Household Panel Survey 734 Brownian motion 783 building nonlinear models 416 business cycle 419, 635, 881 I-19 I-20 Subject Index BVAR (Bayesian Vector Autoregression) 58 BVAR forecasts 69 calendar effects 360 canonical form 92 CAPM 793 carry-over 996 category sales 988 CBI survey 744, 745, 749, 753, 764, 767 central limit theorem 103, 201 chain-weighted data 970 Chapman–Kolmogorov equation 436 Choleski factorization 52 Chow test 622 classical cycle 881 clustering algorithm 164 clustering of forecasts 163 cobreaking 373 coincident indicator 380 cointegrated vector autoregressions 617 cointegrating vector 584 cointegration 60, 61, 372, 581, 886, 905 combination weights 139 combinations of probability density or distribu- tion forecasts 177 combinations of quantile forecasts 179 common and an idiosyncratic component 896 common factors 370, 372 common shocks 896 competitors’ actions 986 component GARCH 806 component models 14 composite coincident index 881, 885 composite index 881, 882, 885 composite leading index (CLI) 886, 893 composite point forecast 439 compound decision problem 544 computational burden 47 computational efficiency 29 concordance index 936 conditional covariance matrix 842 conditional distributions 200 conditional expectation 782, 897 conditional forecast error variance 619 conditional forecasting 24 conditional loss functions 124 conditional mean forecasts 200 conditional moment test 442 conditional probability 897 conditional Sharpe ratios 792 conditional variance 819 conditional variance processes 614 conditional volatility 788 conditionally Gaussian state space model 394 conditioning information 201 Confederation of Australian Industries 751 Confederation of British Industry 735 confidence intervals 101, 102, 200 conjugate 42 conjugate filter 395 consensus forecasts 737 consistency tests 431 constant conditional correlation 845 constrained least squares 159 constraints on the portfolio weights 174 Consultant Committee on Consumer Survey Sta- tistics 753 Consumer Expenditure Survey 766 consumer sentiment 766 contemporaneous aggregation 295, 299 contingency table 936 continuous time model 383 continuous-time 780 correct dynamic specification 203 corresponding Quasi-Maximum Likelihood Esti- mates 808 count data 394, 986 covariance forecasting 793 covariance risk 792 coverage probability 448 cross-validation 480, 494 cumulative adoptions 1000 cumulative distribution function 8, 201 current effect 996 customers 985 CUSUM test 623 daily volatility 856 damped trend model 340 data augmentation 58 data input 969 data measurement errors 611 Data Resources Inc. 69 data revisions 382, 965 data vintage 962 dating algorithm 882 dating rule 881 de-trending method 889 decay 47, 994 decision maker 83 decision problem 88 decision-based loss function 87 decision-making 6 Subject Index I-21 degree of approximation 470 density expectations 720 density forecast evaluation 861 density forecasting 23, 200, 438, 789, 809, 854 density ratio method 39 determination of the number of factors 531 deterministic components 610 deterministic seasonality 669 deterministic terms 305, 561, 610 diagnostic checking 316 Dickey–Fuller test 679 Diebold–Mariano test 441 differencing 634 differencing operator 291 diffuse prior 41 diffusion 780 diffusion indices 752 diffusive coefficient 783 diffusive volatility 835 direct sampling 26 direction of change 101, 117 discrete state models 14 distribution 200 distribution forecast 83, 90 distribution-forecast/point-realization loss func- tion 98 diversification gains 145 dividend–price ratio 592 doubly stochastic model 417 drift 783 duration 881, 914 duration dependence 886 duration interval 993 dynamic conditional correlations 845 dynamic estimation 902 dynamic factor model 525, 882, 895 dynamic linear model 43 dynamic principal components analysis 532 dynamic volatility 794 EC-ARMA E 292, 311 EC-VARMA process 292 echelon form 290, 306 ECM 679 economic condition 881 economic forecasting 881 efficient method of moments (EMM) 823 efficient method of simulated moments 823 EGARCH 803 empirical Bayes 48, 542 empirical distributions 201 empirical processes 201 encompassing tests 431 equally weighted combinations 148, 182 equilibrium correction (EC) term 290 equilibrium-mean 613 ergodic 38 error accumulation 613 error autocorrelation 429 error correction 61, 290, 582 error-based form 96 error-based loss 96 error-learning 727 estimation of the combination weights 160 estimation of VARMA models 311 Eurocoin 896 EVT 810 ex ante forecast 643 exchange rate returns 66 expansion 640 expectations errors 721, 723 expectations heterogeneity 720 expectations uncertainty 745 expected utility 20, 84, 104 explaining adverse forecast outcomes 490 explaining forecast outcomes 505 explaining remarkable forecast outcomes 485 explanatory taxonomy of prediction 487 explicit formulation 7 exponential discounting 166 exponential GARCH 803 exponential smooth transition autoregressive model 418 exponential smoothing (ES) 631, 840 exponential STR model 419 exponentially weighted moving average 331, 336 external consistency 17 external inconsistency 18 external validity 18 extrapolations formula 727 extrapolative expectations 724, 726, 730 Extreme Value Theory 810 factor models 14, 847, 980 factor MS model 914 factor structure 172 false alarm rate 85 false discovery rate 131 fan charts 438 Federal Reserve Bank of Atlanta 70 Federal Reserve Bank of Minneapolis 68 Federal Reserve Bank of Philadelphia 735 . 311 EC-VARMA process 292 echelon form 290, 306 ECM 679 economic condition 881 economic forecasting 881 efficient method of moments (EMM) 823 efficient method of simulated moments 823 EGARCH 803 empirical. I-21 degree of approximation 470 density expectations 720 density forecast evaluation 861 density forecasting 23, 200, 438, 789, 809, 854 density ratio method 39 determination of the number of factors. 85 false discovery rate 131 fan charts 438 Federal Reserve Bank of Atlanta 70 Federal Reserve Bank of Minneapolis 68 Federal Reserve Bank of Philadelphia 735