Economic Forecasting
Princeton University Press
This book is an exposition of the basic underlying theory of forecasting as well as a collection of methods for both constructing forecasts and analysing forecasting methods. The statistical problem of forecasting is presented as an estimation problem grounded in decision theory.
The first section of the book presents the big picture problem, showing the grounding of methods in the loss function and how various approaches should be understood. The second section focusses on methods typically employed in economics and other fields. Most of the remainder of the book examines methods for evaluating forecasts and forecasting methods.
The book is appropriate as a reference book or text at a masters level.
