Series de dados

International Journal of Forecasting 22 (2006) 443 – 473 www.elsevier.com/locate/ijforecast 25 years of time series forecasting
Jan G. De Gooijer a,1, Rob J. Hyndman b,* a Department of Quantitative Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands b Department of Econometrics and Business Statistics, Monash University, VIC 3800, Australia

Abstract
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.
D 2006 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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

1. Introduction
The International Institute of Forecasters (IIF) was established 25 years ago and its silver jubilee provides an opportunity to review progress on time series forecasting. We highlight research published in journals sponsored by the Institute, although we also cover key publications in other journals. In 1982, the
IIF set up the Journal of Forecasting (JoF ), published

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