The Oxford handbook of economic forecasting / edited by Michael P. Clements and David F. Hendry.

Format:

Book

Contributor:

Clements, Michael P.

Hendry, David F.

Series:

Oxford handbooks

[Oxford handbooks]

Language:

English

Subjects (All):

Economic forecasting.

Physical Description:

xv, 712 pages : illustrations ; 26 cm.

Place of Publication:

New York : Oxford University Press, [2011]

Contents:

Part I Forecasting Models and Methods

1 VARs, Cointegration, and Common Cycle Restrictions / Heather M. Anderson Anderson, Heather M., Farshid Vahid Vahid, Farshid 9

2 Dynamic Factor Models / James H. Stock Stock, James H., Mark W. Watson Watson, Mark W. 35

3 Forecasting with Nonlinear Time Series Models / Anders Bredahl Kock Kock, Anders Bredahl, Timo Teräsvirta Teräsvirta, Timo 61

4 Forecasting with DSGE Models / Kai Christoffel Christoffel, Kai, Günter Coenen Coenen, Günter, Anders Warne Warne, Anders 89

5 Forecasting Economic Time Series Using Unobserved Components Time Series Models / Siem Jan Koopman Koopman, Siem Jan, Marius Ooms Ooms, Marius 129

6 Improving the Role of Judgment in Economic Forecasting / Paul Goodwin Goodwin, Paul, Dilek Önkal Önkal, Dilek, Michael Lawrence Lawrence, Michael 163

Part II Data Issues

7 Nowcasting / Marta Banbura Banbura, Marta, Domenico Giannone Giannone, Domenico, Lucrezia Reichlin Reichlin, Lucrezia 193

8 Forecasting with Mixed-Frequency Data / Elena Andreou Andreou, Elena, Eric Ghysels Ghysels, Eric, Andros Kourtellos Kourtellos, Andros 225

9 Forecasting with Real-Time Data Vintages / Dean Croushore Croushore, Dean 247

Part III Forecasting and Structural Breaks

10 Forecasting From Misspecified Models in the Presence of Unanticipated Location Shifts / Michael P. Clements Clements, Michael P., David F. Hendry Hendry, David F. 271

11 Forecasting Breaks and Forecasting During Breaks / Jennifer L. Castle Castle, Jennifer L., Nicholas W. P. Fawcett Fawcett, Nicholas W. P., David F. Hendry Hendry, David F. 315

12 Forecast Combinations / Marco Aiolfi Aiolfi, Marco, Carlos Capistrán Capistrán, Carlos, Allan Timmermann Timmermann, Allan 355

Part IV Forecast Evaluation

13 Multiple Forecast Model Evaluation / Valentina Corradi Corradi, Valentina, Walter Distaso Distaso, Walter 391

14 Testing for Unconditional Predictive Ability / Todd E. Clark Clark, Todd E., Michael W. McCracken McCracken, Michael W. 415

15 Testing Conditional Predictive Ability / Raffaella Giacomini Giacomini, Raffaella 441

16 Interpreting and Combining Heterogeneous Survey Forecasts / Charles F. Manski Manski, Charles F. 457

17 Analyzing Three-Dimensional Panel Data of Forecasts / Antony Davies Davies, Antony, Kajal Lahiri Lahiri, Kajal, Xuguang Sheng Sheng, Xuguang 473

Part V Financial Forecasting

18 Forecasting Financial Time Series / Terence C. Mills Mills, Terence C. 499

19 Forecasting Volatility Using High-Frequency Data / Peter Reinhard Hansen Hansen, Peter Reinhard, Asger Lunde Lunde, Asger 525

Part VI Special Interest Areas

20 Economic Value of Weather and Climate Forecasts / Richard W. Katz Katz, Richard W., Jeffrey K. Lazo Lazo, Jeffrey K. 559

21 Long-Horizon Growth Forecasting and Demography / Thomas Lindh Lindh, Thomas 585

22 Forecasting the Energy Markets / Derek W. Bunn Bunn, Derek W., Nektaria V. Karakatsani Karakatsani, Nektaria V. 607

23 Models for Health Care / Andrew M. Jones Jones, Andrew M. 625

24 Election Forecasting / Michael S. Lewis-Beck Lewis-Beck, Michael S., Charles Tien Tien, Charles 655

25 Marketing and Sales / Philip Hans Franses Franses, Philip Hans 673.

Notes:

Includes bibliographical references and index.

ISBN:

9780195398649

0195398645

OCLC:

649079796