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Discussion Paper Details

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Title: Forecasting in Economics and Finance

Author(s): Graham Elliott and Allan G Timmermann

Publication Date: June 2016

Keyword(s): Big Data, Forecast evaluation, Forecast models, Model Instability and Parameter Estimation

Programme Area(s): Financial Economics

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.

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Bibliographic Reference

Elliott, G and Timmermann, A. 2016. 'Forecasting in Economics and Finance'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=11354