Handbook of Research Methods and Applications in Macroeconomic Forecasting

Bringing together the recent advances and innovative methods in macroeconomic forecasting, this erudite Handbook outlines how to forecast, including following world events such as the Covid-19 pandemic and the global financial crisis. With contributions from global experts, chapters explore the use of machine-learning techniques, the value of social media data, and climate change forecasting. Investigating the opportunities and challenges brought about by ‘Big Data’, it examines how data can be used for forecasting by economists and analysts in international organisations as well as private practice. Utilising econometric techniques, it helps quantify the uncertainties regarding the future. The insightful Handbook is an excellent resource for scholars of advanced macroeconomic forecasting, as well as those requiring a better understanding of econometrics, statistics, and modelling approaches. Practitioners in both private and public sectors will greatly appreciate the expert guidance for good future forecasting practices.

Table of Contents:
Contents 1 Introduction to the Handbook of Research Methods and Applications 1 in Macroeconomic Forecasting Michael P. Clements and Ana Beatriz Galvão 2 Macroeconomic forecasting using BVARs 15 Niko Hauzenberger, Florian Huber and Gary Koop 3 BVARs and stochastic volatility 43 Joshua C. C. Chan 4 Panel data forecasting 68 Andreas Pick and Allan Timmermann 5 Bayesian nonparametric methods for macroeconomic forecasting 90 Massimiliano Marcellino and Michael Pfarrhofer 6 Forecasting with DSGE models 126 Edward Herbst 7 Nowcasting recession risk 156 Francesco Furno and Domenico Giannone 8 Lessons from nowcasting GDP across the world 187 Danilo Cascaldi-Garcia, Matteo Luciani and Michele Modugno 9 Forecasting inflation in the US and in the euro area 218 Marta Banìbura, Michele Lenza and Joan Paredes 10 Econometrics of machine learning methods in economic forecasting 246 Andrii Babii, Eric Ghysels and Jonas Striaukas 11 Recent developments in forecast evaluation 274 Barbara Rossi 12 Survey expectations and forecast uncertainty 305 Todd E. Clark and Elmar Mertens 13 Real-time data and forecasting 334 Michael P. Clements and Ana Beatriz Galvão 14 Econometric forecasting of climate change 361 Jennifer L. Castle, David F. Hendry and J. Isaac Miller 15 Forecasting the macroeconomic effects of physical climate risk 396 Andrew B. Martinez and Andrew J. Wilson 16 Macroeconomic forecasting with text-based data 425 Juri Marcucci Index 469