The Oxford Handbook of Economic Forecasting

by Clements, Michael P.; Hendry, David F.

• ISBN13: 9780195398649
• ISBN10: 0195398645
• Format: Hardcover
• Copyright: 2011-07-08
• Publisher: Oxford University Press

Summary

This Handbook provides up-to-date coverage of both new developments and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, either in terms of the frequency of observations, the number of variables, or the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, and methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas, as well as their developments informing the mainstream. In the early 21st century, climate change and the forecasting of health expenditures and population are topics of pressing importance.

Author Biography

Michael P. Clements is Professor of Economics at the University of Warwick. His research interests include econometric modelling and forecasting, with recent publications in the areas of forecast evaluation, the analysis of high frequency data and mixed data frequency models, real-time vintage data, and survey expectations. He currently serves as an editor of the International Journal of Forecasting.

David F. Hendry is a Fellow of Nuffield College and Professor of Economics, University of Oxford (Chairman, 2001-2007). He was Knighted in 2009, and holds seven Honorary Doctorates. He is an Honorary Vice-President and past President, Royal Economic Society; Fellow, British Academy, Royal Society of Edinburgh, Econometric Society, and Journal of Econometrics; Foreign Honorary Member, American Economic Association and American Academy of Arts and Sciences; and an Honorary Fellow, International Institute of Forecasters. He is listed by the ISI as one of the world's 200 most cited economists, and has published more than 200 papers and 14 books on econometric methods, theory, modelling, and history; numerical techniques and computing; empirical economics; and both nowcasting and forecasting.

Table of Contents

Contributors	p. vii
Introduction	p. 1
Forecasting Models and Methods
VARs, Cointegration, and Common Cycle Restrictions	p. 9
Dynamic Factor Models	p. 35
Forecasting with Nonlinear Time Series Models	p. 61
Forecasting with DSGE Models	p. 89
Forecasting Economic Time Series Using Unobserved Components Time Series Models	p. 129
Improving the Role of Judgment in Economic Forecasting	p. 163
Data Issues
Nowcasting	p. 193
Forecasting with Mixed-Frequency Data	p. 225
Forecasting with Real-Time Data Vintages	p. 247
Forecasting and Structural Breaks
Forecasting From Misspecified Models in the Presence of Unanticipated Location Shifts	p. 271
Forecasting Breaks and Forecasting During Breaks	p. 315
Forecast Combinations	p. 355
Forecast Evaluation
Multiple Forecast Model Evaluation	p. 391
Testing for Unconditional Predictive Ability	p. 415
Testing Conditional Predictive Ability	p. 441
Interpreting and Combining Heterogeneous Survey Forecasts	p. 457
Analyzing Three-Dimensional Panel Data of Forecasts	p. 473
Financial Forecasting
Forecasting Financial Time Series	p. 499
Forecasting Volatility Using High-Frequency Data	p. 525
Special Interest Areas
Economic Value of Weather and Climate Forecasts	p. 559
Long-Horizon Growth Forecasting and Demography	p. 585
Forecasting the Energy Markets	p. 607
Models for Health Care	p. 625
Election Forecasting	p. 655
Marketing and Sales	p. 673
Index	p. 691
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