Applied Economic Forecasting using Time Series Methods
Eric Ghysels and Massimiliano Marcellino
Reviews and Awards
"This book, by two masters of applied time-series forecasting, is modern, well-balanced, and insightful. And special chapters on things like forecasting in Big Data and/or mixed-frequency data environments enhance its appeal, as does the full set of EViews and R code supplied. Applied Economic Forecasting using Time Series Methods will be an invaluable resource for students and practitioners alike." - Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics; Professor of Finance and Statistics, University of Pennsylvania
"This book is highly welcome as it shows how forecasting is done in practice. For instance, how to use bridge models for now-casting GDP and a (B)VAR model to project it over the next few quarters. Eric Ghysels and Massimiliano Marcellino adopt a pragmatic approach to introduce the time-series models most widely used in forecasting." - Marco Buti, Director-General for Economic and Financial Affairs at the European Commission
"Forecasting economic activity and inflation is at the core of monetary policy analysis in central banks. This book combines a very clear exposition of both basic and advanced time series models for forecasting with plenty of practical examples ready for use by practitioners. It's an excellent introduction to the world of forecasting." - Frank Smets, Director General Economics, European Central Bank
"This excellent book offers a hands-on introduction to students and researchers with an interest in economic forecasting. It offers in-depth treatments of topics not covered by most textbooks, notably forecasting with mixed-frequency data and nonlinear models, and is full of useful empirical examples. The book is a pleasure to read and highly recommended for anyone with an interest in understanding the nuts and bolts of economic forecasting." - Allan Timmermann, Atkinson/Epstein Endowed Chair Professor of Finance, Rady School of Management, Professor of Finance and Economics, University of California, San Diego