25 Years of IIF Time Series Forecasting: A Selective Review
Jan G. De Gooijer and Rob J. Hyndman
We review the past 25 years of time series research that has
been published in journals managed by the International Institute of Forecasters
(Journal of Forecasting 1982–1985; 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.
Keywords: Accuracy measures; ARCH model; ARIMA model; Combining; Count data; Densities; Exponential smoothing; Kalman Filter; Long memory; Multivariate; Neural nets; Nonlinearity; Prediction intervals; Regime switching models; Robustness; Seasonality; State space; Structural models; Transfer function; Univariate; VAR.
