The Oxford Handbook of Economic Forecasting
Edited by Michael P. Clements and David F. Hendry
Abstract
This text provides up-to-date coverage of both new developments and well-established fields in the sphere of economic forecasting. The articles aim to provide 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 that 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 twenty-first century, climate change and the forecasting of health expenditures and population are topics of pressing importance.
Keywords:
economic forecasting,
frequency of observations,
number of variables,
multiple data vintages,
statistical theory,
economic theory,
factor models,
DSGE models,
restricted vector autoregressions,
non-linear models
Bibliographic Information
- Publisher:
- Oxford University Press
- Print Publication Date:
- Jul 2011
- ISBN:
- 9780195398649
- Published online:
- Sep 2012
- DOI:
- 10.1093/oxfordhb/9780195398649.001.0001
Editors
Michael P. Clements,
editor
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,
editor
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.
