Description

Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing.

Key Features

*Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods *Insights within this volume can be applied to economics, finance and marketing disciplines

Readership

economists

Table of Contents

Part 1. Forecasting methodology. 1. Bayesian forecasting (J. Geweke, C. Whiteman).
2. Forecasting and decision theory (C.W.J.Granger, M.J. Machina).
3. Forecast evaluation (K.D. West).
4. Forecast combinations (A. Timmermann).
5. Predictive density evaluation (V. Corradi, N.R. Swanson).
Part 2. Forecasting models. 6. Forecasting with VARMA models (H. Lutkepohl).
7. Forecasting with unobserved components time series models (A. Harvey).
8. Forecasting economic variables with nonlinear models (T. Terasvirta).
9. Approximate nonlinear forecasting models (H. White).
Part 3. Forecasting with different data structures. 10. Forecasting with many predictors (J.H. Stock, M.W. Watson).
11. Forecasting with trending data (G. Elliott).
12. Forecasting with breaks (M.P. Clements, D.F. Hendry).
13. Forecasting seasonal time series (E. Ghysels, D.R. Osborn, P.M.M. Rodrigues).
14. Survey expectations (M.H. Pesaran, M. Weale).
Part 4. Applications of forecasting methods. 15.Volatility and correlation forecasting (T.G. Andersen, T. Bollerslev, P.F. Christoffersen, F.X. Diebold).
16. Leading Indicators (M. Marcellino).
17. Forecasting with real-time macroeconomic data (D. Croushore).
18. Forecasting in marketing (P.H. Franses).

Details

No. of pages:
1070
Language:
English
Copyright:
© 2006
Published:
Imprint:
North Holland
Print ISBN:
9780444513953
Electronic ISBN:
9780080460673

About the editors

G. Elliott

Affiliations and Expertise

University of California at San Diego, La Jolla, CA, USA

C. Granger

Affiliations and Expertise

University of California, San Diego, La Jolla, CA, USA

A. Timmermann

Affiliations and Expertise

University of California at San Diego, La Jolla, CA, USA