Forecasting in the Presence of Structural Breaks and Model Uncertainty

Forecasting in the Presence of Structural Breaks and Model Uncertainty
Author: David E. Rapach
Publisher: Emerald Group Publishing
Total Pages: 691
Release: 2008-02-29
Genre: Business & Economics
ISBN: 044452942X

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.

The Oxford Handbook of Economic Forecasting

The Oxford Handbook of Economic Forecasting
Author: Michael P. Clements
Publisher: Oxford University Press
Total Pages: 732
Release: 2011-06-29
Genre: Business & Economics
ISBN: 0199875510

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.

Handbook of Economic Forecasting

Handbook of Economic Forecasting
Author: Graham Elliott
Publisher: Elsevier
Total Pages: 1386
Release: 2013-10-24
Genre: Business & Economics
ISBN: 0444627413

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

Essays in Honor of Cheng Hsiao

Essays in Honor of Cheng Hsiao
Author: Dek Terrell
Publisher: Emerald Group Publishing
Total Pages: 468
Release: 2020-04-15
Genre: Business & Economics
ISBN: 1789739578

Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
Author: Xiaohong Chen
Publisher: Springer Science & Business Media
Total Pages: 582
Release: 2012-08-01
Genre: Business & Economics
ISBN: 1461416531

This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.

Principles of Forecasting

Principles of Forecasting
Author: J.S. Armstrong
Publisher: Springer Science & Business Media
Total Pages: 880
Release: 2001
Genre: Business & Economics
ISBN: 9780792374015

This handbook summarises knowledge from experts and empirical studies. It provides guidelines that can be applied in fields such as economics, sociology, and psychology. Includes a comprehensive forecasting dictionary.

The British Economy After Oil

The British Economy After Oil
Author: Terry Barker
Publisher: Taylor & Francis
Total Pages: 197
Release: 2023-10-12
Genre: Business & Economics
ISBN: 1000966364

The British Economy After Oil (1988) examines the future paths for the British economy as North Sea oil runs out. It considers the argument that the future lies in the promotion and growth of services, as well as the counter-argument that the future lies with the development of a strong manufacturing base for the economy.

Applied Economics and Public Policy

Applied Economics and Public Policy
Author: Iain Begg
Publisher: Cambridge University Press
Total Pages: 317
Release: 1998-03-28
Genre: Business & Economics
ISBN: 0521624142

Applied economics is both an art and a science. It requires a sound knowledge of economic theory, statistical techniques and data sources, together with an appreciation that behavioural changes can alter apparently established economic relationships. In this book leading economists illustrate the diversity of the subject, and present a series of studies that demonstrate a range of techniques and their applications to economic policy. It contains chapters which explore approaches to macroeconomic modelling analyses of corporate performance, new estimates of the evolution of incomes in the UK since the eighteenth century and assessments of the role of applied economics in guiding macroeconomic policy. All the chapters were specially commissioned to mark the fiftieth anniversary of the Department of Applied Economics at the University of Cambridge, and the contributions to the book are a fitting tribute to the work instigated by Sir Richard Stone and carried forward by his successors.

Econometrics of Structural Change

Econometrics of Structural Change
Author: Walter Krämer
Publisher: Springer Science & Business Media
Total Pages: 134
Release: 2012-12-06
Genre: Business & Economics
ISBN: 3642484123

Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t

Analysis of Panel Data

Analysis of Panel Data
Author: Cheng Hsiao
Publisher: Cambridge University Press
Total Pages: 539
Release: 2022-07-07
Genre: Business & Economics
ISBN: 131651210X

A comprehensive introduction of fundamental panel data methodologies.