Handbook of Economic Forecasting

by Graham Elliott (Editor), Allan Timmermann (Editor)

Overview

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics.  In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects.  Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables.  Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies.  Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals.  The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues.

• Focuses on innovation in economic forecasting via industry applications
• Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications
• Makes details about economic forecasting accessible to scholars in fields outside economics

Product Details

ISBN-13:	9780444536839
Publisher:	Elsevier Science
Publication date:	09/24/2013
Series:	Handbook of Economic Forecasting , #2
Edition description:	New Edition
Pages:	720
Product dimensions:	9.30(w) x 7.50(h) x 1.70(d)

About the Author

Co-Editor of the International Journal of Forecasting, Graham Elliott is a Fellow at the Center for Applied Macroeconomic Analysis.

Allan Timmerman has served as an associate editor on the editorial boards of forecasting, economics, and finance journals. A member of the UCSD faculty since 1994, he obtained his Ph.D. from Cambridge University.

Table of Contents

1. Forecasting Inflation: Jon Faust and Jonathan Wright (Johns Hopkins University)
2. DSGE Model-Based Forecasting: Marco Del Negro (Federal Reserve Bank of New York) and Frank Schorfheide (University of Pennsylvania)
3. Forecasting Output: Marcelle Chauvet (University of California, Riverside) and Simon Potter (Federal Reserve Bank of New York)
4. Nowcasting and the Real Time Data Flow: Marta Banbura (European Central Bank), Domenico Giannone (Universite Libre de Bruxelles), Michele Modugno (University Libre de Bruxelles), and Lucrezia Reichlin (London Business School)
5. Forecasting and Policy Making: Volker Wieland and Maik Wolters (Goethe University, Frankfurt)
6. Forecasting Stock Returns: David Rapach (St. Louis University) and Guofu Zhou (Washington University at St Louis)
7. Forecasting Interest Rates: Gregory Duffee (Johns Hopkins University)
8. Forecasting the Price of Oil: Ron Alquist (Bank of Canada), Lutz Kilian (University of Michigan),and Robert J. Vigfusson (Federal Reserve Board)
9. Forecasting Real Estate Prices: Eric Ghysels (University of North Carolina), Alberto Plazzi (Lugano), Rossen Valkanov (University of California, San Diego) and Walter Torous (University of California, Los Angeles)
10. Forecasting with Option-Implied Information: Peter Christoffersen (University of Toronto), Kris Jacobs (University of Houston), and Bo Young Chang (Bank of Canada)
11. Prediction Markets for Economic Forecasting: Erik Snowberg (Caltech), Justin Wolfers (Wharton School, University of Pennsylvania), and Eric Zitzewitz (Dartmouth College)
12. Forecasters’ Objectives and Strategies: Ivan Marinovich (Stanford University), Marco Ottaviani (Northwestern University and Bocconi), and Peter Sorensen (University of Copenhagen)
13. Forecasting Exchange Rates: an Investor Perspective: Michael Melvin, John Prins, and Duncan Shand (BlackRock)
14. Variable Selection in Predictive Regressions: Serena Ng (Columbia University)
15. Forecasting with Bayesian Vector Autoregressions: Sune Karlsson (Orebro University)
16. Copula Methods for Forecasting Multivariate Time Series: Andrew Patton (Duke University)
17. Quantile Prediction: Ivana Komunjer (University of California, San Diego)
18. Panel Data Forecasting: Badi Baltagi (Syracuse University)
19. Forecasting Binary Outcomes: Kajal Lahiri and Liu Yang (State University of New York, Albany)
20. Advances in Forecast Evaluation: Todd Clark (Kansas Fed) and Michael McCracken (St. Louis Fed)
21. Advances in Forecasting under Instability: Barbara Rossi (Universitat Pompeu Fabra)

What People are Saying About This

From the Publisher

Detailed surveys examine innovation in economic forecasting, from improved methodologies to new commercial applications.

Editorial Reviews

"…the eleven papers in this collection survey recent literature on forecasting stock returns, interest rates, the price of oil, real estate prices, inflation, national output, business cycles, and the GDP impact of a fiscal stimulus package...The contributors agree most economic models  failed to predict the Great Recession."—ProtoView.com, April 2014

"Forecasting is one of the most challenging and competitive activities undertaken by economists. Volume 2 of the Handbook of Economic Forecasting and the companion Volume 1 are essential references for keeping abreast of recent improvements in forecasting methodology and its application in demanding circumstances."—John Geweke, University of Technology Sydney, Australia

"This is a highly recommended volume on forecasting that covers a wide-range of applications in economic and financial forecasting, as well as providing comprehensive and up-to-date overviews of forecasting theory by the leading scholars in the field."—Hashem Pesaran, University of Southern California

"An excellent resource for any economist interested in forecasting."—Kenneth D. West, University of Wisconsin

"These articles have been written by the most important players in the areas, by the people who have provided important contributions to their fields.  I have no doubt about the very high quality of these chapters and the impact they will have on people doing applied work."—Valentina Corradi, University of Warwick

From the Publisher