DP11354 Forecasting in Economics and Finance

Author(s): Graham Elliott, Allan G Timmermann
Publication Date: June 2016
Keyword(s): Big Data, Forecast evaluation, Forecast models, Model Instability, Parameter Estimation
JEL(s):
Programme Areas: Financial Economics
Link to this Page: www.cepr.org/active/publications/discussion_papers/dp.php?dpno=11354

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.