Evaluating Econometric Forecasts of Economic and Financial Variables

Evaluating Econometric Forecasts of Economic and Financial Variables PDF Author: M. Clements
Publisher: Springer
ISBN: 0230596142
Category : Business & Economics
Languages : en
Pages : 187

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Book Description
Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single most likely outcome of an economic and financial variable are of limited value. Forecasts that provide more information on the expected likely ranges of outcomes are more relevant. This book provides a comprehensive treatment of the evaluation of different types of forecasts and draws out the parallels between the different approaches. It describes the methods of evaluating these more complex forecasts which provide a fuller description of the range of possible future outcomes.

Evaluating Econometric Forecasts of Economic and Financial Variables

Evaluating Econometric Forecasts of Economic and Financial Variables PDF Author: M. Clements
Publisher: Springer
ISBN: 0230596142
Category : Business & Economics
Languages : en
Pages : 187

Get Book Here

Book Description
Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single most likely outcome of an economic and financial variable are of limited value. Forecasts that provide more information on the expected likely ranges of outcomes are more relevant. This book provides a comprehensive treatment of the evaluation of different types of forecasts and draws out the parallels between the different approaches. It describes the methods of evaluating these more complex forecasts which provide a fuller description of the range of possible future outcomes.

Evaluating Econometric Forecasts of Economic and Financial Variables

Evaluating Econometric Forecasts of Economic and Financial Variables PDF Author: M. Clements
Publisher: Palgrave Macmillan
ISBN: 9781403941565
Category : Business & Economics
Languages : en
Pages : 173

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Book Description
Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single most likely outcome of an economic and financial variable are of limited value. Forecasts that provide more information on the expected likely ranges of outcomes are more relevant. This book provides a comprehensive treatment of the evaluation of different types of forecasts and draws out the parallels between the different approaches. It describes the methods of evaluating these more complex forecasts which provide a fuller description of the range of possible future outcomes.

Economic Forecasting

Economic Forecasting PDF Author: Graham Elliott
Publisher: Princeton University Press
ISBN: 1400880890
Category : Business & Economics
Languages : en
Pages : 567

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Book Description
A comprehensive and integrated approach to economic forecasting problems Economic forecasting involves choosing simple yet robust models to best approximate highly complex and evolving data-generating processes. This poses unique challenges for researchers in a host of practical forecasting situations, from forecasting budget deficits and assessing financial risk to predicting inflation and stock market returns. Economic Forecasting presents a comprehensive, unified approach to assessing the costs and benefits of different methods currently available to forecasters. This text approaches forecasting problems from the perspective of decision theory and estimation, and demonstrates the profound implications of this approach for how we understand variable selection, estimation, and combination methods for forecasting models, and how we evaluate the resulting forecasts. Both Bayesian and non-Bayesian methods are covered in depth, as are a range of cutting-edge techniques for producing point, interval, and density forecasts. The book features detailed presentations and empirical examples of a range of forecasting methods and shows how to generate forecasts in the presence of large-dimensional sets of predictor variables. The authors pay special attention to how estimation error, model uncertainty, and model instability affect forecasting performance. Presents a comprehensive and integrated approach to assessing the strengths and weaknesses of different forecasting methods Approaches forecasting from a decision theoretic and estimation perspective Covers Bayesian modeling, including methods for generating density forecasts Discusses model selection methods as well as forecast combinations Covers a large range of nonlinear prediction models, including regime switching models, threshold autoregressions, and models with time-varying volatility Features numerous empirical examples Examines the latest advances in forecast evaluation Essential for practitioners and students alike

Financial Econometrics

Financial Econometrics PDF Author: Michael P. Clements
Publisher:
ISBN: 9781403932662
Category :
Languages : en
Pages :

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Book Description


Economic and Business Forecasting

Economic and Business Forecasting PDF Author: John E. Silvia
Publisher: John Wiley & Sons
ISBN: 1118569547
Category : Business & Economics
Languages : en
Pages : 400

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Book Description
Discover the secrets to applying simple econometric techniques to improve forecasting Equipping analysts, practitioners, and graduate students with a statistical framework to make effective decisions based on the application of simple economic and statistical methods, Economic and Business Forecasting offers a comprehensive and practical approach to quantifying and accurate forecasting of key variables. Using simple econometric techniques, author John E. Silvia focuses on a select set of major economic and financial variables, revealing how to optimally use statistical software as a template to apply to your own variables of interest. Presents the economic and financial variables that offer unique insights into economic performance Highlights the econometric techniques that can be used to characterize variables Explores the application of SAS software, complete with simple explanations of SAS-code and output Identifies key econometric issues with practical solutions to those problems Presenting the "ten commandments" for economic and business forecasting, this book provides you with a practical forecasting framework you can use for important everyday business applications.

Understanding Economic Forecasts

Understanding Economic Forecasts PDF Author: David F. Hendry
Publisher: MIT Press
ISBN: 9780262582421
Category : Business & Economics
Languages : en
Pages : 236

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Book Description
How to interpret and evaluate economic forecasts and the uncertainties inherent in them.

Palgrave Handbook of Econometrics

Palgrave Handbook of Econometrics PDF Author: Terence C. Mills
Publisher: Springer
ISBN: 0230244408
Category : Business & Economics
Languages : en
Pages : 1406

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Book Description
Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.

Econometric Forecasting and High-frequency Data Analysis

Econometric Forecasting and High-frequency Data Analysis PDF Author: Roberto S. Mariano
Publisher: World Scientific
ISBN: 9812778969
Category : Business & Economics
Languages : en
Pages : 200

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Book Description
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.

Evaluation of Econometric Models

Evaluation of Econometric Models PDF Author: Jan Kmenta
Publisher: Academic Press
ISBN: 1483267342
Category : Business & Economics
Languages : en
Pages : 425

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Book Description
Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior. This publication is intended for students and researchers interested in evaluating econometric models.

Time Series Models for Business and Economic Forecasting

Time Series Models for Business and Economic Forecasting PDF Author:
Publisher: Cambridge University Press
ISBN: 0521817706
Category :
Languages : en
Pages : 313

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Book Description