- Consulting Editors
- [UNTITLED]
- Contributors
- [UNTITLED]
- Introduction
- Vars, Cointegration, and Common Cycle Restrictions
- Dynamic Factor Models
- Forecasting With Nonlinear Time Series Models
- Forecasting With DSGE Models
- Forecasting Economic Time Series Using Unobserved Components Time Series Models
- Improving the Role of Judgment in Economic Forecasting
- Nowcasting
- Forecasting with Mixed-Frequency Data
- Forecasting with Real-Time Data Vintages
- Forecasting from misspecified Models in the Presence of Unanticipated Location Shifts
- Forecasting Breaks and Forecasting During Breaks
- Forecast Combinations
- Multiple Forecast Model Evaluation
- Testing for Unconditional Predictive Ability
- Testing Conditional Predictive Ability
- Interpreting and Combining Heterogeneous Survey Forecasts
- Analyzing Three-Dimensional Panel Data of Forecasts
- Forecasting Financial Time Series
- Forecasting Volatility Using High-Frequency Data
- Economic Value of Weather and Climate Forecasts
- Long-Horizon Growth Forecasting and Demography
- Forecasting the Energy Markets
- Models for Health Care
- Election Forecasting
- Marketing and Sales
- Index
Abstract and Keywords
This article illustrates how frameworks built around multidimensional panel data of forecasts can be used not only to test the rational expectations hypothesis correctly, but also to study alternative expectations-formation mechanisms, to distinguish anticipated from unanticipated shocks, and to distinguish forecast uncertainty from disagreement.
Keywords: frameworks, economic forecasting, rational expectations hypothesis, economic shocks, forecast uncertainty
Antony Davies is an associate professor of economics at Duquesne University and Mercatus Affiliated Senior Scholar at George Mason University. His areas of interest include econometrics, consumer psychology, and public policy. Outside of academia, Davies has served as chief analytics officer for Parabon Computation and has founded several technology companies.
Kajal Lahiri is a distinguished professor of economics at the University at Albany SUNY, and honorary fellow of the International Institute of Forecasters. He has authored more than 100 research articles and books, including Introduction to Econometrics, 4th rev. ed. (with G.S. Maddala) and Transportation Indicators and Business Cycles (2010). Dr. Lahiri currently serves on the editorial boards of Journal of Econometrics, International Journal of Forecasting, Empirical Economics, and Journal of Business Cycle Measurement and Analysis.
Xuguang Sheng is an assistant professor of economics at American University, Washington, DC. His research interests include nonstationary panels, Bayesian methodolgy, and economic forecasting. He has published in the Journal of Econometrics, Journal of Applied Econometrics, and International Journal of Forecasting.
Access to the complete content on Oxford Handbooks Online requires a subscription or purchase. Public users are able to search the site and view the abstracts and keywords for each book and chapter without a subscription.
Please subscribe or login to access full text content.
If you have purchased a print title that contains an access token, please see the token for information about how to register your code.
For questions on access or troubleshooting, please check our FAQs, and if you can''t find the answer there, please contact us.
- Consulting Editors
- [UNTITLED]
- Contributors
- [UNTITLED]
- Introduction
- Vars, Cointegration, and Common Cycle Restrictions
- Dynamic Factor Models
- Forecasting With Nonlinear Time Series Models
- Forecasting With DSGE Models
- Forecasting Economic Time Series Using Unobserved Components Time Series Models
- Improving the Role of Judgment in Economic Forecasting
- Nowcasting
- Forecasting with Mixed-Frequency Data
- Forecasting with Real-Time Data Vintages
- Forecasting from misspecified Models in the Presence of Unanticipated Location Shifts
- Forecasting Breaks and Forecasting During Breaks
- Forecast Combinations
- Multiple Forecast Model Evaluation
- Testing for Unconditional Predictive Ability
- Testing Conditional Predictive Ability
- Interpreting and Combining Heterogeneous Survey Forecasts
- Analyzing Three-Dimensional Panel Data of Forecasts
- Forecasting Financial Time Series
- Forecasting Volatility Using High-Frequency Data
- Economic Value of Weather and Climate Forecasts
- Long-Horizon Growth Forecasting and Demography
- Forecasting the Energy Markets
- Models for Health Care
- Election Forecasting
- Marketing and Sales
- Index
