The forecasting literature has identified two important issues: (i) several predictors have substantial and statistically significant predictive content, although only sporadically, and it is unclear whether this predictive content can be exploited reliably; (ii) in-sample predictive content...

This chapter surveys recent developments in the evaluation of point forecasts. Taking West’s (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West’s writing. We then focus on recent developments, including advancements in the evaluation of...

Binary events are involved in many economic decision problems. In recent years, considerable progress has been made in diverse disciplines in developing models for forecasting binary outcomes. We distinguish between two types of forecasts for binary events that are generally obtained as the...

This chapter reviews the panel data forecasting literature. Starting with simple forecasts based on fixed and random effects panel data models. Next, these forecasts are extended to allow for various ARMA type structure on the disturbances, as well as spatial autoregressive and moving average...

This chapter is concerned with the problem of quantile prediction (or forecasting). There are numerous applications in economics and finance where quantiles are of interest. We primarily focus on methods that are relevant for dynamic time series data. The chapter is organized around two key...

Copula-based models provide a great deal of flexibility in modeling multivariate distributions, allowing the researcher to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to form a joint distribution. In addition to flexibility,...

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the...