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Handbook of Research Methods and Applications in Macroeconomic Forecasting
Bringing together the recent advances and innovative methods in macroeconomic forecasting, this erudite Handbook outlines how to forecast, including following world events such as the Covid-19 pandemic and the global financial crisis. With contributions from global experts, chapters explore the use of machine-learning techniques, the value of social media data, and climate change forecasting.
This title contains one or more Open Access chapters.
This title contains one or more Open Access chapters.
More Information
Critical Acclaim
Contents
More Information
Bringing together the recent advances and innovative methods in macroeconomic forecasting, this erudite Handbook outlines how to forecast, including following world events such as the Covid-19 pandemic and the global financial crisis.
With contributions from global experts, chapters explore the use of machine-learning techniques, the value of social media data, and climate change forecasting. Investigating the opportunities and challenges brought about by ‘Big Data’, it examines how data can be used for forecasting by economists and analysts in international organisations as well as private practice. Utilising econometric techniques, it helps quantify the uncertainties regarding the future.
The insightful Handbook is an excellent resource for scholars of advanced macroeconomic forecasting, as well as those requiring a better understanding of econometrics, statistics, and modelling approaches. Practitioners in both private and public sectors will greatly appreciate the expert guidance for good future forecasting practices.
With contributions from global experts, chapters explore the use of machine-learning techniques, the value of social media data, and climate change forecasting. Investigating the opportunities and challenges brought about by ‘Big Data’, it examines how data can be used for forecasting by economists and analysts in international organisations as well as private practice. Utilising econometric techniques, it helps quantify the uncertainties regarding the future.
The insightful Handbook is an excellent resource for scholars of advanced macroeconomic forecasting, as well as those requiring a better understanding of econometrics, statistics, and modelling approaches. Practitioners in both private and public sectors will greatly appreciate the expert guidance for good future forecasting practices.
Critical Acclaim
‘Michael P. Clements and Ana Beatriz Galvão have curated a remarkable set of cutting-edge contributions, written by leading experts. This Handbook gives an exhaustive overview of current methodological challenges and achievements within macroeconomic forecasting, as well as perspectives on future developments. A must-read for both researchers and practitioners!’
– Pierre Pinson, Imperial College London, UK
‘This Handbook is a must-read for academics and practitioners alike. It surveys the most recent developments in the theory and practice of macroeconomic forecasting. All chapters are written by eminent and experienced scholars, and contain up-to-date methods and applications. This is a highly commendable book!’
– Philip Hans Franses, Erasmus University Rotterdam, the Netherlands
– Pierre Pinson, Imperial College London, UK
‘This Handbook is a must-read for academics and practitioners alike. It surveys the most recent developments in the theory and practice of macroeconomic forecasting. All chapters are written by eminent and experienced scholars, and contain up-to-date methods and applications. This is a highly commendable book!’
– Philip Hans Franses, Erasmus University Rotterdam, the Netherlands
Contents
Contents
1 Introduction to the Handbook of Research Methods and Applications 1
in Macroeconomic Forecasting
Michael P. Clements and Ana Beatriz Galvão
2 Macroeconomic forecasting using BVARs 15
Niko Hauzenberger, Florian Huber and Gary Koop
3 BVARs and stochastic volatility 43
Joshua C. C. Chan
4 Panel data forecasting 68
Andreas Pick and Allan Timmermann
5 Bayesian nonparametric methods for macroeconomic forecasting 90
Massimiliano Marcellino and Michael Pfarrhofer
6 Forecasting with DSGE models 126
Edward Herbst
7 Nowcasting recession risk 156
Francesco Furno and Domenico Giannone
8 Lessons from nowcasting GDP across the world 187
Danilo Cascaldi-Garcia, Matteo Luciani and Michele Modugno
9 Forecasting inflation in the US and in the euro area 218
Marta Banìbura, Michele Lenza and Joan Paredes
10 Econometrics of machine learning methods in economic forecasting 246
Andrii Babii, Eric Ghysels and Jonas Striaukas
11 Recent developments in forecast evaluation 274
Barbara Rossi
12 Survey expectations and forecast uncertainty 305
Todd E. Clark and Elmar Mertens
13 Real-time data and forecasting 334
Michael P. Clements and Ana Beatriz Galvão
14 Econometric forecasting of climate change 361
Jennifer L. Castle, David F. Hendry and J. Isaac Miller
15 Forecasting the macroeconomic effects of physical climate risk 396
Andrew B. Martinez and Andrew J. Wilson
16 Macroeconomic forecasting with text-based data 425
Juri Marcucci
Index 469
1 Introduction to the Handbook of Research Methods and Applications 1
in Macroeconomic Forecasting
Michael P. Clements and Ana Beatriz Galvão
2 Macroeconomic forecasting using BVARs 15
Niko Hauzenberger, Florian Huber and Gary Koop
3 BVARs and stochastic volatility 43
Joshua C. C. Chan
4 Panel data forecasting 68
Andreas Pick and Allan Timmermann
5 Bayesian nonparametric methods for macroeconomic forecasting 90
Massimiliano Marcellino and Michael Pfarrhofer
6 Forecasting with DSGE models 126
Edward Herbst
7 Nowcasting recession risk 156
Francesco Furno and Domenico Giannone
8 Lessons from nowcasting GDP across the world 187
Danilo Cascaldi-Garcia, Matteo Luciani and Michele Modugno
9 Forecasting inflation in the US and in the euro area 218
Marta Banìbura, Michele Lenza and Joan Paredes
10 Econometrics of machine learning methods in economic forecasting 246
Andrii Babii, Eric Ghysels and Jonas Striaukas
11 Recent developments in forecast evaluation 274
Barbara Rossi
12 Survey expectations and forecast uncertainty 305
Todd E. Clark and Elmar Mertens
13 Real-time data and forecasting 334
Michael P. Clements and Ana Beatriz Galvão
14 Econometric forecasting of climate change 361
Jennifer L. Castle, David F. Hendry and J. Isaac Miller
15 Forecasting the macroeconomic effects of physical climate risk 396
Andrew B. Martinez and Andrew J. Wilson
16 Macroeconomic forecasting with text-based data 425
Juri Marcucci
Index 469
