Clements, M: Oxford Handbook of Economic Forecasting

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 Terasvirta; 4 Forecasting with DSGE models; Kai Christoffel , Gunter Coenen and Anders Warne; 5 Unobserved components; Siem Jan Koopman and Marius Ooms; 6 Judgmental forecasting; Paul Goodwin, Dilek Onkal and Michael Lawrence; Part 2. Data issues; 7 Nowcasting; Marta Ba?bura, 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 an

Michael P. Clements, University of Warwick;David F. Hendry, University of Oxford

"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

"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

"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

"This impressive co