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Author: Maximo Camacho
Publisher:
ISBN: 9781601987426
Category : Business & Economics
Languages : en
Pages : 74
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Book Description
Short-term Forecasting for Empirical Economists seeks to close the gap between research and applied short-term forecasting. The authors review some of the key theoretical results and empirical findings in the recent literature on short-term forecasting, and translate these findings into economically meaningful techniques to facilitate their widespread application to compute short-term forecasts in economics, and to monitor the ongoing business cycle developments in real time.
Author: Maximo Camacho
Publisher:
ISBN: 9781601987426
Category : Business & Economics
Languages : en
Pages : 74
Get Book Here
Book Description
Short-term Forecasting for Empirical Economists seeks to close the gap between research and applied short-term forecasting. The authors review some of the key theoretical results and empirical findings in the recent literature on short-term forecasting, and translate these findings into economically meaningful techniques to facilitate their widespread application to compute short-term forecasts in economics, and to monitor the ongoing business cycle developments in real time.
Author: Máximo Camacho
Publisher:
ISBN: 9781601987433
Category : Economic forecasting
Languages : en
Pages : 59
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Book Description
Practitioners do not always use research findings, sometimes because the research is not always conducted in a manner relevant to real-world practice. This survey seeks to close the gap between research and practice on short-term forecasting in real time. Towards this end, we review the most relevant recent contributions to the literature, examine their pros and cons, and we take the liberty of proposing some lines of future research. We include bridge equations, MIDAS, VARs, factor models and Markov-switching factor models, all allowing for mixed-frequency and ragged ends. Using the four constituent monthly series of the Stock-Watson coincident index, industrial production, employment, income and sales, we evaluate their empirical performance to forecast quarterly US GDP growth rates in real time. Finally, we review the main results regarding the number of predictors in factor based forecasts and how the selection of the more informative or representative variables can be made.
Author: Graham Elliott
Publisher: Princeton University Press
ISBN: 0691140138
Category : Business & Economics
Languages : en
Pages : 566
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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
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.
Author: Siem Jan Koopman
Publisher: Emerald Group Publishing
ISBN: 1785603523
Category : Business & Economics
Languages : en
Pages : 685
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Book Description
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.
Author: Graham Elliott
Publisher: Elsevier
ISBN: 0444627405
Category : Business & Economics
Languages : en
Pages : 667
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Book Description
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
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.
Author: Michael Clements
Publisher: Cambridge University Press
ISBN: 9780521634809
Category : Business & Economics
Languages : en
Pages : 402
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Book Description
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
Author: Michael P. Clements
Publisher: OUP USA
ISBN: 0195398645
Category : Business & Economics
Languages : en
Pages : 732
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Book Description
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.
Author: Eric Ghysels
Publisher: Oxford University Press
ISBN: 0190622016
Category : Business & Economics
Languages : en
Pages : 617
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Book Description
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.
