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Detailed surveys examine innovation in economic forecasting, from improved methodologies to new commercial applications.

Table of Contents

 



Forecasting Inflation: Jon Faust and Jonathan Wright (Johns Hopkins University)
DSGE Model-Based Forecasting: Marco Del Negro (Federal Reserve Bank of New York) and Frank Schorfheide (University of Pennsylvania)
Forecasting Output: Marcelle Chauvet (University of California, Riverside) and Simon Potter (Federal Reserve Bank of New York)
Nowcasting and the Real Time Data Flow: Marta Banbura (European Central Bank), Domenico Giannone (Universite Libre de Bruxelles), Michele Modugno (University Libre de Bruxelles), and Lucrezia Reichlin (London Business School)
Forecasting and Policy Making: Volker Wieland and Maik Wolters (Goethe University, Frankfurt)
Forecasting Stock Returns: David Rapach (St. Louis University) and Guofu Zhou (Washington University at St Louis)
Forecasting Interest Rates: Gregory Duffee (Johns Hopkins University)
Forecasting the Price of Oil: Ron Alquist (Bank of Canada), Lutz Kilian (University of Michigan),and Robert J. Vigfusson (Federal Reserve Board)
Forecasting Real Estate Prices: Eric Ghysels (University of North Carolina), Alberto Plazzi (Lugano), Rossen Valkanov (University of California, San Diego) and Walter Torous (University of California, Los Angeles)
Forecasting with Option-Implied Information: Peter Christoffersen (University of Toronto), Kris Jacobs (University of Houston), and Bo Young Chang (Bank of Canada)
Prediction Markets for Economic Forecasting: Erik Snowberg (Caltech), Justin Wolfers (Wharton School, University of Pennsylvania), and Eric Zitzewitz (Dartmouth College)
Forecasters’ Objectives and Strategies: Ivan Marinovich (Stanford University), Marco Ottaviani (Northwestern University and Bocconi), and Peter Sorensen (University of Copenhagen)
Forecasting Exchange Rates: an Investor Perspective: Michael Melvin, John Prins, and Duncan Shand (BlackRock)
Variable Selection in Predictive Regressions: Serena Ng (Columbia University)
Forecasting with Bayesian Vector Autoregressions: Sune Karlsson (Orebro University)
Copula Methods for Forecasting Multivariate Time Series: Andrew Patton (Duke University)
Quantile Prediction: Ivana Komunjer (University of California, San Diego)
Panel Data Forecasting: Badi Baltagi (Syracuse University)
Forecasting Binary Outcomes: Kajal Lahiri and Liu Yang (State University of New York, Albany)
Advances in Forecast Evaluation: Todd Clark (Kansas Fed) and Michael McCracken (St. Louis Fed)
Advances in Forecasting under Instability: Barbara Rossi (Universitat Pompeu Fabra)

About the Author

Co-Editor of the International Journal of Forecasting, Graham Elliott is a Fellow at the Center for Applied Macroeconomic Analysis. Allan Timmerman has served as an associate editor on the editorial boards of forecasting, economics, and finance journals. A member of the UCSD faculty since 1994, he obtained his Ph.D. from Cambridge University.

Reviews

"Forecasting is one of the most challenging and competitive activities undertaken by economists. Volume 2 of the Handbook of Economic Forecasting and the companion Volume 1 are essential references for keeping abreast of recent improvements in forecasting methodology and its application in demanding circumstances." --John Geweke, University of Technology Sydney, Australia

"This is a highly recommended volume on forecasting that covers a wide-range of applications in economic and financial forecasting, as well as providing comprehensive and up-to-date overviews of forecasting theory by the leading scholars in the field." --Hashem Pesaran, University of Southern California

"An excellent resource for any economist interested in forecasting."  --Kenneth D. West, University of Wisconsin

"These articles have been written by the most important players in the areas, by the people who have provided important contributions to their fields.  I have no doubt about the very high quality of these chapters and the impact they will have on people doing applied work." --Valentina Corradi, University of Warwick