Forecasting in Economics and Finance

被引:43
|
作者
Elliott, Graham [1 ]
Timmermann, Allan [1 ,2 ]
机构
[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA
[2] Aarhus Univ, Ctr Res Econometr Anal Time Series, DK-8210 Aarhus, Denmark
来源
关键词
risk; forecast models; big data; parameter estimation; model misspecification; model instability; forecast evaluation; STOCK RETURNS; ANYTHING BEAT; TESTS; SAMPLE; INFERENCE; SELECTION;
D O I
10.1146/annurev-economics-080315-015346
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:81 / 110
页数:30
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