25 years of time series forecasting

Jan G De Gooijer, Rob J Hyndman
(2006) International Journal of Forecasting 22(3), 443-473


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; 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; 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.