Handbook of Economic Forecasting

Dedication

Introduction to the Series

Contributors

Section III: Forecasters’ Objectives

Chapter 12. Forecasters’ Objectives and Strategies

Abstract

1 Introduction

2 Model with Mixed Reputational and Contest Payoffs

3 Development of Reputational and Contest Theories

4 Equilibrium with Mixed Incentives

5 Estimation

6 Robustness and Extensions

7 Role of Anonymity

8 Summary and Outlook

Acknowledgments

References

Chapter 13. Forecasting Exchange Rates: an Investor Perspective

Abstract

1 Introduction

2 Successful Investing Does Not Require Beating a Random Walk

3 Constructing a Currency Portfolio

4 Benchmarks for Currency Investors

5 Forecast Skill Evaluation: Tilt and Timing

6 Enhancing Forecasts with Conditioners

7 Summary

References

Section IV: Methodology

Chapter 14. Variable Selection in Predictive Regressions

Abstract

1 Introduction

2 Criterion-Based Methods When N < T

3 Regularization Methods

4 Dimension Reduction Methods

5 Three Practical Problems

6 Conclusion

Acknowledgments

References

Chapter 15. Forecasting with Bayesian Vector Autoregression

Abstract

1 Introduction

2 Bayesian Forecasting and Computation

3 Reduced Form VARs

4 Structural VARs

5 Co-Integration

6 Conditional Forecasts

7 Time-Varying Parameters and Stochastic Volatility

8 Model and Variable Selection

9 High-Dimensional VARs

Acknowledgements

Appendix A Markov Chain Monte Carlo Methods

Appendix B State-Space Models

Appendix C Distributions

References

Chapter 16. Copula Methods for Forecasting Multivariate Time Series

Abstract

1 Introduction

2 Dependence Summary Statistics

3 Estimation and Inference for Copula Models

4 Model Selection and Goodness-of-Fit Testing

5 Other Issues in Applications

6 Applications of Copulas in Economics and Finance

7 Conclusions and Directions for Further Research

Acknowledgments

References

Chapter 17. Quantile Prediction

Abstract

1 Introduction

2 Prediction

3 Evaluation

4 Specific Issues

5 Conclusion and Directions for Future Research

Acknowledgments

References

Chapter 18. Panel Data Forecasting

Abstract

1 Introduction

2 The Best Linear Unbiased Predictor

3 Homogeneous versus Heterogeneous Panel Forecasts

4 Caveats, Related Studies, and Future Work

Acknowledgments

References

Chapter 19. Forecasting Binary Outcomes

Abstract

1 Introduction

2 Probability Predictions

3 Evaluation of Binary Event Predictions

4 Binary Point Predictions

5 Improving Binary Predictions

6 Conclusion

Acknowledgments

References

Chapter 20. Advances in Forecast Evaluation

Abstract

1 Introduction

2 Modeling and Forecasting Framework

3 Pairs of Models: Population-Level and Finite-Sample Inference

4 Unconditional Versus Conditional Evaluation

5 Evaluation of Multiple Forecasts

6 Evaluation of Real-Time Forecasts

7 Small-Sample Properties of Tests of Equal Predictive Ability

8 On the Choice of Sample Split

9 Why Do Out-of-Sample Forecast Evaluation?

10 Conclusion

11 Asymptotic Derivations for Out-of-Sample Inference: Examples

Acknowledgments

References

Chapter 21. Advances in Forecasting under Instability

Abstract

1 Introduction

2 Is the Predictive Content Unstable Over Time?

3 What is the Relationship Between in-sample and Out-of-sample Forecasting Ability in the Presence of Instabilities?

4 Empirical Evidence

5 Conclusions

Acknowledgments

Appendix 1 Critical Value Tables

References

Index