Download or read book Forecasting Aggregated Vector ARMA Processes written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is concerned with forecasting time series variables and the impact of the level of aggregation on the efficiency of the forecasts. Since temporally and contemporaneously disaggregated data at various levels have become available for many countries, regions, and variables during the last decades the question which data and procedures to use for prediction has become increasingly important in recent years. This study aims at pointing out some of the problems involved and at pro viding some suggestions how to proceed in particular situations. Many of the results have been circulated as working papers, some have been published as journal articles, and some have been presented at conferences and in seminars. I express my gratitude to all those who have commented on parts of this study. They are too numerous to be listed here and many of them are anonymous referees and are therefore unknown to me. Some early results related to the present study are contained in my monograph "Prognose aggregierter Zeitreihen" (Lutkepohl (1986a)) which was essentially completed in 1983. The present study contains major extensions of that research and also summarizes the earlier results to the extent they are of interest in the context of this study.
Download or read book Forecasting Aggregated Vector Arma Processes written by Helmut Lutkepohl and published by . This book was released on 1987-01-01 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Companion to Economic Forecasting written by Michael P. Clements and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Download or read book Multivariate Time Series Analysis and Applications written by William W. S. Wei and published by John Wiley & Sons. This book was released on 2019-03-18 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Download or read book Disaggregation in Econometric Modelling Routledge Revivals written by Terry Barker and published by Routledge. This book was released on 2014-02-04 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, first published in 1990, leading theorists and applied economists address themselves to the key questions of aggregation. The issues are covered both theoretically and in wide-ranging applications. Of particular intrest is the optimal aggregation of trade data, the need for micro-modelling when imoprtant non-linearities are present (for example, tax exhaustion in modelling company behaviour) and the use of a micro-model to stimulate labour supply behaviour in a macro-model of the Netherlands.
Download or read book Contemporary Biostatistics with Biopharmaceutical Applications written by Lanju Zhang and published by Springer. This book was released on 2019-07-11 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume presents current research in biostatistics with emphasis on biopharmaceutical applications. Featuring contributions presented at the 2017 ICSA Applied Statistics Symposium held in Chicago, IL on June 25 to 28, 2017, this book explores timely topics that have a high potential impact on statistical methodology and future research in biostatistics and biopharmaceuticals. The theme of this conference was Statistics for a New Generation: Challenges and Opportunities, in recognition of the advent of a new generation of statisticians. The conference attracted statisticians working in academia, government, and industry; domestic and international statisticians. From the conference, the editors selected 28 high-quality presentations and invited the speakers to prepare full chapters for this book. These contributions are divided into four parts: Part I Biostatistical Methodology, Part II Statistical Genetics and Bioinformatics, Part III Regulatory Statistics, and Part IV Biopharmaceutical Research and Applications. Featuring contributions on topics such as statistics in genetics, bioinformatics, biostatistical methodology, and statistical computing, this book is beneficial to researchers, academics, practitioners and policy makers in biostatistics and biopharmaceuticals.
Download or read book Comparative Performance of U S Econometric Models written by Lawrence Robert Klein and published by Oxford University Press, USA. This book was released on 1991 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each year, a number of different economic groups in the USA use their own econometric models to forecast what will happen to the economy in the coming year. This volume consists of chapters by distinguished economists comparing the different models now being used.
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
Download or read book New Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2007-07-26 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Download or read book Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances in Business and Management Forecasting written by Kenneth D. Lawrence and published by Emerald Group Publishing. This book was released on 2008-01-25 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes sections devoted to financial applications of forecasting, as well as demand forecasting. This publication also includes a section on general business applications of forecasting, as well as one on forecasting methodologies.
Download or read book Entropy Application for Forecasting written by Ana Jesus Lopez-Menendez and published by MDPI. This book was released on 2020-12-29 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the potential of entropy and information theory in forecasting, including both theoretical developments and empirical applications. The contents cover a great diversity of topics, such as the aggregation and combination of individual forecasts, the comparison of forecasting performance, and the debate concerning the tradeoff between complexity and accuracy. Analyses of forecasting uncertainty, robustness, and inconsistency are also included, as are proposals for new forecasting approaches. The proposed methods encompass a variety of time series techniques (e.g., ARIMA, VAR, state space models) as well as econometric methods and machine learning algorithms. The empirical contents include both simulated experiments and real-world applications focusing on GDP, M4-Competition series, confidence and industrial trend surveys, and stock exchange composite indices, among others. In summary, this collection provides an engaging insight into entropy applications for forecasting, offering an interesting overview of the current situation and suggesting possibilities for further research in this field.
Download or read book Economic Forecasts written by Ralf Brüggemann and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-11-21 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasts guide decisions in all areas of economics and finance. Economic policy makers base their decisions on business cycle forecasts, investment decisions of firms are based on demand forecasts, and portfolio managers try to outperform the market based on financial market forecasts. Forecasts extract relevant information from the past and help to reduce the inherent uncertainty of the future. The topic of this special issue of the Journal of Economics and Statistics is the theory and practise of forecasting and forecast evaluation and an overview of the state of the art of forecasting.
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-10-24 with total page 1386 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Download or read book Data Analysis and Classification written by Francesco Palumbo and published by Springer Science & Business Media. This book was released on 2010-03-14 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume provides results from the latest methodological developments in data analysis and classification and highlights new emerging subjects within the field. It contains articles about statistical models, classification, cluster analysis, multidimensional scaling, multivariate analysis, latent variables, knowledge extraction from temporal data, financial and economic applications, and missing values. Papers cover both theoretical and empirical aspects.
