From the INET interview series: 30 Ways to Be an Economist. Why Economics Needs DataMining.
Predictive modeling in economics is not so easy. We know the problem of overfitting and memorizing noise very well. And if the predicted values influence themselves you need clever algorithms and more frequent recalibration - computing implied features from reality and looking a little into the future.
This is one reasons why we work on an Econometrics package that combines Mathematica 8's excellent statistics and probability and our machine learning framework.