On my bookshelf (or IPAD)
These are the books I refer to most as a practicing forecaster. They are not necessarily the latest editions.
General forecasting books
Forecasting: methods and applications (third edition 1998), by Makridakis, Wheelright, and Hyndman, John Wiley & Sons, Inc. A very fine book which describes a wide range of forecasting techniques and their applications. Includes a glossary of forecasting terms and statistical tables.
Forecasting: principles and practice (continuously updated online), by Rob J Hyndman and George Athanasopoulos, available at https://www.otexts.org/fpp/. A printed version is also available. It is intended as a replacement for Makridakis et el. It covers a wide range of techniques including some newer and advanced techniques not covered in Makridakis et al, such as neural networks. Data is available online as well as instructions for forecasting model development using R.
Principles of Forecasting, J Scott Armstrong (ed, 2001), Kluwer Academic Publishers. A very good book which covers a range of forecasting techniques and recommended principles for forecasting. Includes a forecasting dictionary.
Forecasting: the essential skills, Charles J Nelson 2016. A book aimed at improving forecasting accuracy through improving skills. Includes case studies, a review of the accuracy of economic forecasting, an overview of forecasting techniques, a chapter on risk and uncertainty, a chapter on forecasting with the wisdom of the masses, and a discussion of the essential skills. Available at www.foreseechange.com.au.
Time series analysis
Time Series Analysis: forecasting and Control, Box and Jenkins 1976, Holden-Day. This is the standard reference and is excellent. A new edition has been released recently.
Elements of Econometrics, Jan Kmenta 1971, Macmillan Publishing. A very accessible, clear, and detailed text covering everything from simple regression to simultaneous equation systems.
Economic Forecasting and Policy, Carnot, Koen, and Tissot 2011, Palgrave MacMillan. A very comprehensive and honest book about the practice of economic forecasting.
Inside the Crystal Ball, Maury Harris, 2015, Wiley. An excellent practical guide to making and using forecasts. Emphasises the importance of judgement.
Operational Weather Forecasting, Inness and Dorling 2013, Wiley-Blackwell. A very good primer covering all aspects of forecast production. Includes history, observations, and numerical weather prediction.
Marketing Models, by Lilien, Kotler, and Moorthy 1992, Prentice-Hall Inc. An excellent book covering consumer and organisational buying behaviour and specific models for the components of the marketing mix.
Travel Demand forecasting
Discrete Choice Analysis: theory and application to travel demand, Ben-Akiva and Lerman 1985, MIT Press. I like this book because of its coverage of discrete choice models which are applied in many fields beyond travel.
The Art of the Long View, Peter Schwartz 1996, Prospect Publishing. An excellent how-to book on developing scenarios.
Superforecasting: the art and science of prediction, Philip Tetlock and Dan Gardner. A fascinating account of how the supposed experts forecasting skills are little better than a random number generator but how there are non-experts who can forecast with much more accuracy. This is mostly in the area of intelligence for military and government and is based on the Good Judgment Project which was sponsored by the Intelligence Advanced Research Projects Activity. The authors describe the traits of the best forecasters from their project.
This page updated February 2016