The [Oxford] Handbook of Economic Forecasting

Hardcover | June 17, 2011

EditorMichael P. Clements, David F. Hendry

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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 matterand 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 vectorautoregressions, 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 informingthe mainstream. In the early 21st century, climate change and the forecasting of health expenditures and population are topics of pressing importance.

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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 matterand techniques in a number of diverse but rela...

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 currentl...

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Format:HardcoverDimensions:624 pages, 9.75 × 6.75 × 0.98 inPublished:June 17, 2011Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0195398645

ISBN - 13:9780195398649

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Table of Contents

Michael Clements and David Hendry: IntroductionPart 1. Forecasting models and methods1. Heather Anderson and Farshid Vahid: VARs, cointegration and common cycle restrictions2. James Stock and Mark Watson: Dynamic factor models3. Anders Kock and Timo Terasvirta: Forecasting with non-linear models4. Kai Christoffel , Gunter Coenen and Anders Warne: Forecasting with DSGE models5. Siem Jan Koopman and Marius Ooms: Unobserved components6. Paul Goodwin, Dilek Onkal and Michael Lawrence: Judgmental forecastingPart 2. Data issues7. Marta Babura, Domenico Giannone and Lucrezia Reichlin: Nowcasting8. Elena Andreou, Eric Ghysels and Andros Kourtellos: Forecasting with mixed-frequency data9. Dean Croushore: Forecasting with real-time data vintagesPart 3. Forecasting and Structural breaks10. Michael Clements and David Hendry: Forecasting and structural breaks11. Jennifer Castle, David Hendry, and Nicholas Fawcett: Forecasting breaks and forecasting during breaks12. Marco Aiolfi, Carlos Capistran and Allan Timmermann: Forecast combinationPart 4. Forecast evaluation13. Valentina Corradi and Walter Distaso: Multiple forecast model evaluation14. Todd Clark and Michael McCracken: Testing for unconditional predictive ability15. Raffaella Giacomini: Testing for conditional predictive ability16. Charles Manski: Interpreting and Combining Heterogeneous Survey Forecasts17. Antony Davies, Kajal Lahiri and Xuguang Sheng: Use and Evaluation of Panels of ForecastsPart 5. Financial forecasting18. Terence Mills: Forecasting Financial Time Series19. Peter Hansen and Asger Lunde: Volatility Forecasting Using High Frequency DataPart 6. Special Interest Areas20. Richard Katz and Jeff Lazo: Economic value of weather and climate Forecasts21. Thomas Lindh: Long-horizon Growth forecasting And Demography22. Derek Bunn and Nektaria Karakatsani: Energy Market forecasting23. Andrew Jones: Models for Health Care24. Michael Lewis-Beck and Charles Tien: Political and election forecasting25. Philip-Hans Franses: Marketing and sales