Concepedia

Predictive Econometrics

Predictive Econometrics is a subfield of econometrics that belongs to the broader class of quantitative economic methods, distinguished by its focus on developing and applying statistical models and techniques specifically designed to generate accurate out-of-sample forecasts of economic variables.

1.8K

Publications

150.8K

Citations

2.6K

Authors

1.2K

Institutions

Publications per year

2017–2026

391

Parents

Publications

1.8K

Estimation and Inference of Impulse Responses by Local Projections

Òscar Jordà · American Economic Review · 2005 · 4.4K citations

, , +17

Forecasting Using Principal Components From a Large Number of Predictors

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 2002 · 3.1K citations

, , +12

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

John Y. Campbell, Samuel B. Thompson · Review of Financial Studies · 2007 · 3K citations · Full text

, , +16

Macroeconomic Forecasting Using Diffusion Indexes

James H. Stock, Mark W. Watson · Journal of Business and Economic Statistics · 2002 · 2.6K citations

, , +13

Econometric Issues in the Analysis of Regressions with Generated Regressors

Adrian Pagan · International Economic Review · 1984 · 2.3K citations

, , +10

1–5 of 1.8K

Authors

2.6K

  1. DF
    David F. Hendry

    University of Oxford, United Kingdom

    24 publications · 2.2K citations

    19

    h-index

  2. MP
    Michael P. Clements

    University of Warwick, United Kingdom

    19 publications · 2.2K citations

    18

    h-index

  3. NR
    Norman R. Swanson

    Rutgers, The State University of New Jersey, United States

    23 publications · 1.9K citations

    18

    h-index

  4. AT
    Allan Timmermann

    University of California San Diego, United States

    21 publications · 3.2K citations

    18

    h-index

  5. DG
    Domenico Giannone

    Centre for Economic Policy Research, United Kingdom

    17 publications · 3.6K citations

    16

    h-index

1–5 of 2.6K

Institutions

1.2K

  1. National Bureau of Economic Research

    Cambridge, United States

    37 h-index

    76 publications

    27.1K citations

  2. Centre for Economic Policy Research

    London, United Kingdom

    31 h-index

    65 publications

    7.2K citations

  3. Federal Reserve

    Washington D.C., United States

    28 h-index

    71 publications

    5.2K citations

  4. European Central Bank

    Frankfurt am Main, Germany

    26 h-index

    65 publications

    5.7K citations

  5. Federal Reserve Board of Governors

    Washington D.C., United States

    24 h-index

    58 publications

    5K citations

  6. University of California San Diego

    San Diego, United States

    20 h-index

    30 publications

    3.2K citations

  7. Bank of Italy

    Rome, Italy

    19 h-index

    36 publications

    3.4K citations

  8. University of Michigan

    Ann Arbor, United States

    18 h-index

    19 publications

    2.4K citations

1–8 of 1.2K

Venues

  1. SSRN Electronic Journal

    Repository · 217 publications · 9.4K citations

    53

    h-index

  2. Journal of Forecasting

    115 publications · 6.4K citations

    41

    h-index

  3. International Journal of Forecasting

    90 publications · 5.4K citations

    39

    h-index

  4. Journal of Business and Economic Statistics

    JBES · 48 publications · 10.7K citations

    34

    h-index

  5. Journal of Applied Econometrics

    52 publications · 5.5K citations

    31

    h-index

1–5