Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Download or read book Time Series in High Dimension the General Dynamic Factor Model written by Marc Hallin and published by World Scientific Publishing Company. This book was released on 2020-03-30 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt: Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by Oxford University Press. This book was released on 2011-06-29 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.
Download or read book Applied Economic Forecasting Using Time Series Methods written by Eric Ghysels and published by Oxford University Press. This book was released on 2018 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
Download or read book Forecasting Financial Time Series Using Model Averaging written by Francesco Ravazzolo and published by Rozenberg Publishers. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Download or read book Forecasting Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
Download or read book Economic Analysis of the Digital Economy written by Avi Goldfarb and published by University of Chicago Press. This book was released on 2015-05-08 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a small and growing literature that explores the impact of digitization in a variety of contexts, but its economic consequences, surprisingly, remain poorly understood. This volume aims to set the agenda for research in the economics of digitization, with each chapter identifying a promising area of research. "Economics of Digitization "identifies urgent topics with research already underway that warrant further exploration from economists. In addition to the growing importance of digitization itself, digital technologies have some features that suggest that many well-studied economic models may not apply and, indeed, so many aspects of the digital economy throw normal economics in a loop. "Economics of Digitization" will be one of the first to focus on the economic implications of digitization and to bring together leading scholars in the economics of digitization to explore emerging research.
Download or read book Bayesian Multivariate Time Series Methods for Empirical Macroeconomics written by Gary Koop and published by Now Publishers Inc. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
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 Dynamic Linear Models with R written by Giovanni Petris and published by Springer Science & Business Media. This book was released on 2009-06-12 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.
Download or read book Modelling Non Stationary Economic Time Series written by S. Burke and published by Springer. This book was released on 2005-06-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Download or read book Time Series Econometrics written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Part I. Unit roots and trend breaks -- Part II. Structural change
Download or read book The Methodology and Practice of Econometrics written by Jennifer Castle and published by Oxford University Press. This book was released on 2009-04-30 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.
