Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial...

Industrial production is both highly variable and correlated across sectors. This correlation arises in part from common or aggregate shocks and from sector-specific shocks that propagate across sectors via input-output linkages or other complementarities in production. Using factor analytic...

“Iterated” multiperiod ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas “direct” forecasts are made using a horizon-specific estimated model, where the dependent variable is the multi-period ahead value being...