Overview

This Handbook provides up-to-date coverage of both new 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, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis 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, 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 along with how their developments inform the mainstream.

Full Product Details

Author:   Michael P. Clements (Professor of Economics, Professor of Economics, University of Warwick) ,  David F. Hendry (Fellow, Nuffield College and Professor of Economics, Fellow, Nuffield College and Professor of Economics, University of Oxford)
Publisher:   Oxford University Press Inc
Imprint:   Oxford University Press Inc
Dimensions:   Width: 24.90cm , Height: 4.10cm , Length: 18.00cm
Weight:   1.333kg
ISBN:  

9780195398649

ISBN 10:   0195398645
Pages:   744
Publication Date:   28 July 2011
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   To order  
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

Table of Contents

Introduction, Michael Clements and David Hendry Part 1. Forecasting models and methods 1. VARs, cointegration and common cycle restrictions, Heather Anderson and Farshid Vahid 2. Dynamic factor models, James Stock and Mark Watson 3. Forecasting with non-linear models, Anders Kock and Timo Teräsvirta 4. Forecasting with DSGE models, Kai Christoffel, Günter Coenen and Anders Warne 5. Unobserved components, Siem Jan Koopman and Marius Ooms 6. Judgmental forecasting, Paul Goodwin, Dilek Önkal and Michael Lawrence Part 2. Data issues 7. Nowcasting, Marta Banbura, Domenico Giannone and Lucrezia Reichlin 8. Forecasting with mixed-frequency data, Elena Andreou, Eric Ghysels and Andros Kourtellos 9. Forecasting with real-time data vintages, Dean Croushore Part 3. Forecasting and structural breaks 10. Forecasting and structural breaks, Michael Clements and David Hendry 11. Forecasting breaks and forecasting during breaks, Jennifer Castle, David Hendry, and Nicholas Fawcett 12. Forecast combination, Marco Aiolfi, Carlos Capistrán and Allan Timmermann Part 4. Forecast evaluation 13. Multiple forecast model evaluation, Valentina Corradi and Walter Distaso 14. Testing for unconditional predictive ability, Todd Clark and Michael McCracken 15. Testing for conditional predictive ability, Raffaella Giacomini 16. Interpreting and Combining Heterogeneous Survey Forecasts, Charles Manski 17. Use and Evaluation of Panels of Forecasts, Antony Davies, Kajal Lahiri and Xuguang Sheng Part 5. Financial forecasting 18. Forecasting Financial Time Series, Terence Mills 19. Volatility Forecasting Using High Frequency Data, Peter Hansen and Asger Lunde Part 6. Special interest areas 20. Economic value of weather and climate forecasts, Richard Katz and Jeff Lazo 21. Long-horizon growth forecasting and demography, Thomas Lindh 22. Energy market forecasting, Derek Bunn and Nektaria Karakatsani 23 Models for health care, Andrew Jones 24 Political and election forecasting, Michael Lewis-Beck and Charles Tien 25 Marketing & sales, Philip-Hans Franses

Reviews

<br> The Oxford Handbook of Economic Forecasting by Clements and Hendry is an impressive collection of surveys by some of the leaders in the profession. These surveys explain and update many of the important intellectual contributions to the theory of forecasting. Along the way there are descriptions of data issues and detailed applications. --Robert F. Engle, Michael Armellino Professor of Finance, NYU Stern School of Business, and 2003 Nobel Laureate in Economics<p><br> It is a delight to read such a comprehensive and innovative discussion of economic forecasting, especially in the wake of the recent largely unforeseen financial crisis. Clements and Hendry have assembled a wealth of contributions by key researchers in the field of economic forecasting. Topics include forecasting from different classes of models, including VARs, DSGE models, dynamic factor models, and nonlinear models; data issues and nowcasting; structural breaks; and forecast evaluation. Several chapters cover forecasting in highly topical fields such as finance, climate, energy, and health. This Handbook is an excellent reference and guide for students and practitioners alike. --Neil R. Ericsson, author of Testing Exogeneity and Understanding Economic Forecasts<p><br> Economic forecasting is more than predicting three of the last five recessions. This Handbook reveals the richness of the methodology, applications, and recent developments in the field. Clements and Hendry have organized a set of papers capturing these three attributes. The topics covered include methodology, data issues, forecast evaluation, financial forecasting, special interest areas, and the nemesis of all forecasters: the issue of forecasting (unknown) structural breaks. Forecasters and those interested in the field will find this a comprehensive technical introduction to modern economic forecasting. --Fred Joutz, Research Program on Forecasting, Department of Economics, George Washington University<p><br> This impressive co

The Oxford Handbook of Economic Forecasting by Clements and Hendry is an impressive collection of surveys by some of the leaders in the profession. These surveys explain and update many of the important intellectual contributions to the theory of forecasting. Along the way there are descriptions of data issues and detailed applications. * Robert F. Engle, Michael Armellino Professor of Finance, NYU Stern School of Business, and 2003 Nobel Laureate in Economics *

<br> The Oxford Handbook of Economic Forecasting by Clements and Hendry is an impressive collection of surveys by some of the leaders in the profession. These surveys explain and update many of the important intellectual contributions to the theory of forecasting. Along the way there are descriptions of data issues and detailed applications. --Robert F. Engle, Michael Armellino Professor of Finance, NYU Stern School of Business, and 2003 Nobel Laureate in Economics<p><br> It is a delight to read such a comprehensive and innovative discussion of economic forecasting, especially in the wake of the recent largely unforeseen financial crisis. Clements and Hendry have assembled a wealth of contributions by key researchers in the field of economic forecasting. Topics include forecasting from different classes of models, including VARs, DSGE models, dynamic factor models, and nonlinear models; data issues and nowcasting; structural breaks; and forecast evaluation. Several chapters cover forec

Author Information

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.

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