This Handbook provides up-to-date coverage of both new developments and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and are authoritative yet accessible.

This Handbook provides up-to-date coverage of both new developments and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible 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 which 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 21st century, climate change and the forecasting of health expenditures and population are topics of pressing importance.

Contributors Introduction. Part 1. Forecasting models and methods 1. VARs, cointegration and common cycle restrictions 2. Dynamic factor models 3 Forecasting with non-linear models 4 Forecasting with DSGE models 5 Unobserved components 6 Judgmental forecasting Part 2. Data issues 7 Nowcasting 8 Forecasting with mixed-frequency data 9 Forecasting with real-time data vintages Part 3. Forecasting and Structural breaks 10 Forecasting and structural breaks 11 Forecasting breaks and forecasting during breaks 12 Forecast combination Part 4. Forecast evaluation 13 Multiple forecast model evaluation 14 Testing for unconditional predictive ability 15 Testing for conditional predictive ability 16 Interpreting and Combining Heterogeneous Survey Forecasts 17 Use and Evaluation of Panels of Forecasts Part 5. Financial forecasting 18 Forecasting Financial Time Series 19 Volatility Forecasting Using High Frequency Data Part 6. Special Interest Areas 20 Economic value of weather and climate Forecasts 21 Long-horizon Growth forecasting And Demography 22 Energy Market forecasting 23 Models for Health Care 24 Political and election forecasting 25 Marketing & sales Index