The Oxford Handbook of Economic Forecasting

Michael P. Clements is Professor of Economics at the University of Warwick. His research interests include econometric modelling and forecasting, with recent publications in the areas of forecast evaluation, the analysis of high frequency data and mixed data frequency models, real-time vintage data, and survey expectations. He currently serves as an editor of the International Journal of Forecasting. David F. Hendry is a Fellow of Nuffield College and Professor of Economics, University of Oxford (Chairman, 2001-2007). He was Knighted in 2009, and holds seven Honorary Doctorates. He is an Honorary Vice-President and past President, Royal Economic Society; Fellow, British Academy, Royal Society of Edinburgh, Econometric Society, and Journal of Econometrics; Foreign Honorary Member, American Economic Association and American Academy of Arts and Sciences; and an Honorary Fellow, International Institute of Forecasters.

• 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 and forecasting during breaks ; Jennifer Castle, David Hendry, and Nicholas Fawcett ; 12 Forecast combination ; Marco Aiolfi, Carlos Capistran and Allan Timmermann ; Part 4. Forecast evaluation ; 13 Multiple forecast model evaluation ; Valentina Corradi and Walter Distaso ; 14 Testing for unconditional predictive ability ; Todd Clark and Michael McCracken ; 15 Testing for conditional predictive ability ; Raffaella Giacomini ; 16 Interpreting and Combining Heterogeneous Survey Forecasts ; Charles Manski ; 17 Use and Evaluation of Panels of Forecasts ; Antony Davies, Kajal Lahiri and Xuguang Sheng ; Part 5. Financial forecasting ; 18 Forecasting Financial Time Series ; Terence Mills ; 19 Volatility Forecasting Using High Frequency Data ; Peter Hansen and Asger Lunde ; Part 6. Special Interest Areas ; 20 Economic value of weather and climate Forecasts ; Richard Katz and Jeff Lazo ; 21 Long-horizon Growth forecasting And Demography ; Thomas Lindh ; 22 Energy Market forecasting ; Derek Bunn and Nektaria Karakatsani ; 23 Models for Health Care ; Andrew Jones ; 24 Political and election forecasting ; Michael Lewis-Beck and Charles Tien ; 25 Marketing & sales ; Philip-Hans Franses

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.