Background: Efforts to identify important risk factors for cognitive impairment and dementia have to date mostly relied on meta-analytic strategies. A comprehensive empirical evaluation of these risk factors within a single study is currently lacking. Objective: We used a combined methodology of machine learning and semi-parametric survival analysis to estimate the relative importance of 52 predictors in forecasting cognitive impairment and dementia in a large, population-representative sample of older adults. Methods: Participants from the Health and Retirement Study (N = 9,979; aged 50–98 years) were followed for up to 10 years (M= 6.85 for cognitive impairment; M= 7.67 for dementia). Using a split-sample methodology, we first estimated the relative importance of predictors using machine learning (random forest survival analysis), and we then used semi-parametric survival analysis (Cox proportional hazards) to estimate effect sizes for the most important variables...