This book serves as a reference guide to econometrics modelling and forecasting, with a vision to help and guide completely on how to structure a forecasting problem so that alternative forecasting methods can be designed and evaluated efficiently. The book takes readers through a variety of forecasting methods, with a strong discussion on their strengths and weaknesses, and an analysis on how to use them efficiently. It has been written with the objective of helping the readers/researchers select the most appropriate method for a given forecasting problem.