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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.

More Detail

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Statistics Notes

These statistics notes accompany my undergradudate course at UCSD. ...Read more

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Elliott and Meng Website

Our joint website ...Read more

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Kroner Center for Financial Research

I co-direct KCFR with Michael Melvin at the Rady School here at UCSD...Read more

Books

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Economic Forecasting

Graham Elliott and Allan Timmermann ...Princeton

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Handbook of Forecasting, Volume 1

Graham Elliott, Clive Granger and Allan Timmermann ...Elsevier

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Handbook of Forecasting, Volumes 2a,2b

Graham Elliott and Allan Timmermann ...Elsevier