Forecasting in Economics and Finance

40 Pages Posted: 27 Jun 2016

See all articles by Graham Elliott

Graham Elliott

University of California, San Diego (UCSD) - Department of Economics

Allan Timmermann

UCSD ; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: June 2016

Abstract

Practices used to address economic forecasting problems have undergone substantial changes over recent years. We review how such changes have influenced the ways in which a range of forecasting questions are being addressed. We also discuss the promises and challenges arising from access to big data. Finally, we review empirical evidence and experience accumulated from the use of forecasting methods to a range of economic and financial variables.

Keywords: Big Data, Forecast evaluation, Forecast models, Model Instability, Parameter Estimation

Suggested Citation

Elliott, Graham and Timmermann, Allan, Forecasting in Economics and Finance (June 2016). CEPR Discussion Paper No. DP11354. Available at SSRN: https://ssrn.com/abstract=2801035

Graham Elliott (Contact Author)

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-4481 (Phone)
858-534-7040 (Fax)

Allan Timmermann

UCSD ( email )

9500 Gilman Drive
La Jolla, CA 92093-0553
United States
858-534-0894 (Phone)

HOME PAGE: http://rady.ucsd.edu/people/faculty/timmermann/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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