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Author: Claudia Foroni
Publisher:
ISBN: 9783865587817
Category :
Languages : en
Pages : 0
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Book Description
Author: Claudia Foroni
Publisher:
ISBN: 9783865587817
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Jing Xie
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 38
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Book Description
Many central banks and government agencies use nowcasting techniques to obtain policy relevant information about the business cycle. Existing nowcasting methods, however, have two critical shortcomings for this purpose. First, in contrast to machine-learning models, they do not provide much if any guidance on selecting the best explantory variables (both high- and low-frequency indicators) from the (typically) larger set of variables available to the nowcaster. Second, in addition to the selection of explanatory variables, the order of the autoregression and moving average terms to use in the baseline nowcasting regression is often set arbitrarily. This paper proposes a simple procedure that simultaneously selects the optimal indicators and ARIMA(p,q) terms for the baseline nowcasting regression. The proposed AS-ARIMAX (Adjusted Stepwise Autoregressive Moving Average methods with exogenous variables) approach significantly reduces out-of-sample root mean square error for nowcasts of real GDP of six countries, including India, Argentina, Australia, South Africa, the United Kingdom, and the United States.
Author: Vladik Kreinovich
Publisher: Springer
ISBN: 3319507427
Category : Technology & Engineering
Languages : en
Pages : 693
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Book Description
This book presents recent research on robustness in econometrics. Robust data processing techniques – i.e., techniques that yield results minimally affected by outliers – and their applications to real-life economic and financial situations are the main focus of this book. The book also discusses applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. In day-by-day data, we often encounter outliers that do not reflect the long-term economic trends, e.g., unexpected and abrupt fluctuations. As such, it is important to develop robust data processing techniques that can accommodate these fluctuations.
Author: Olga Valenzuela
Publisher: Springer Nature
ISBN: 303140209X
Category : Mathematics
Languages : en
Pages : 236
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Book Description
This book presents the latest developments in the theory and applications of time series analysis and forecasting. Comprising a selection of refereed papers, it is divided into several parts that address modern theoretical aspects of time series analysis, forecasting and prediction, with applications to various disciplines, including econometrics and energy research. The broad range of topics discussed, including matters of particular relevance for sustainable development, will give readers a modern perspective on the subject. The included contributions were originally presented at the 8th International Conference on Time Series and Forecasting, ITISE 2022, held in Gran Canaria, Spain, June 27-30, 2022. The ITISE conference series provides a forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the foundations, theory, models and applications of time series analysis and forecasting. It focuses on interdisciplinary research encompassing computer science, mathematics, statistics and econometrics.
Author: Eric Ghysels
Publisher: Oxford University Press
ISBN: 0190622032
Category : Business & Economics
Languages : en
Pages : 617
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Book Description
Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable. Because forecast precision and reliability can be enhanced by the use of proper econometric models and methods, this innovative book provides an overview of both theory and applications. Undergraduate and graduate students learning basic and advanced forecasting techniques will be able to build from strong foundations, and researchers in public and private institutions will have access to the most recent tools and insights. Readers will gain from the frequent examples that enhance understanding of how to apply techniques, first by using stylized settings and then by real data applications--focusing on macroeconomic and financial topics. This is first and foremost a book aimed at applying time series methods to solve real-world forecasting problems. Applied Economic Forecasting using Time Series Methods starts with a brief review of basic regression analysis with a focus on specific regression topics relevant for forecasting, such as model specification errors, dynamic models and their predictive properties as well as forecast evaluation and combination. Several chapters cover univariate time series models, vector autoregressive models, cointegration and error correction models, and Bayesian methods for estimating vector autoregressive models. A collection of special topics chapters study Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models and the Kalman filter, mixed frequency data models, nowcasting, forecasting using large datasets and, finally, volatility models. There are plenty of practical applications in the book and both EViews and R code are available online at authors' website.
Author:
Publisher: Elsevier
ISBN: 0128202513
Category : Mathematics
Languages : en
Pages : 352
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Book Description
Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. - Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society - Includes descriptions and links to resources and free open source R - Gives readers what they need to jumpstart their understanding on the state-of-the-art
Author: Victor Musa
Publisher: International Monetary Fund
ISBN:
Category :
Languages : en
Pages : 66
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Book Description
The paper introduces a semi-structural Quarterly Projection Model (QPM) tailored for the Democratic Republic of the Congo (DRC), highlighting its resource richness and high degree of dollarization. We provide an overview of the model's specifications to elucidate key features of the DRC economy and present its properties, evaluating its alignment with DRC data and assessing its goodness of fit. Additionally, the paper demonstrates the QPM's practical application through a counterfactual scenario, comparing policy recommendations with the actual policy responses of the Central Bank of the Republic of Congo to observed exchange rate and inflation pressures in 2023. Beyond the QPM, the paper showcases supplementary tools that enhance its utility for generating medium-term forecasts and developiong narratives in support of monetary policymaking. Specifically, we introduce the Nowcasting and Near-Term Forecast models, designed to assess the economy in real-time and predict short-term inflationary trends.
Author: Taro Kageyama
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110477157
Category : Language Arts & Disciplines
Languages : en
Pages : 506
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Book Description
This collection of papers is the first book ever published in English that presents detailed analyses of valency and transitivity alternations in Japanese from multifaceted standpoints: morphology, semantics, syntax, dialects, history, acquisition, and language typology.
Author: Cong Vinh Phan
Publisher: Springer Nature
ISBN: 3031287908
Category : Computers
Languages : en
Pages : 180
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Book Description
This book constitutes the refereed post-conference proceedings of the 8th EAI International Conference on Nature of Computation and Communication, ICTCC 2022, held in Vinh Long, Vietnam, in October 27-28 2022. The 11 revised full papers presented were carefully selected from 32 submissions. The papers of ICTCC 2022 cover formal methods for self-adaptive systems and discuss natural approaches and techniques for natural computing systems and their applications.
Author: Doris Chenguang Wu
Publisher: Taylor & Francis
ISBN: 1000773442
Category : Business & Economics
Languages : en
Pages : 327
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Book Description
This insightful and timely volume provides a succinct, expert-led introduction to the latest developments in advanced econometric methodologies in the context of tourism demand modelling and forecasting. Written by a plethora of worldwide experts on this topic, this book offers a comprehensive approach to tourism econometrics. Accurate demand forecasts are crucial to decision-making in the tourism industry and this book provides real-life tourism applications and the corresponding R code alongside theoretical foundations, in order to enhance understanding and practice amongst its readers. The methodologies introduced include general to specific modelling, cointegration, vector autoregression, time-varying parameter modelling, spatiotemporal econometric models, mixed-frequency forecasting, hybrid forecasting models, forecasting combination techniques, density forecasting, judgemental forecasting, scenario forecasting under crisis, and web-based tourism forecasting. Embellished with insightful figures and tables throughout, this book is an invaluable resource for those using advanced econometric methodologies in their studies and research, including both undergraduate and postgraduate students, researchers, and practitioners.
