Forecasting Macroeconomic Time Series
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| Author | : Michael Clements |
| Publisher | : Cambridge University Press |
| Total Pages | : 402 |
| Release | : 1998-10-08 |
| Genre | : Business & Economics |
| ISBN | : 9780521634809 |
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 | : MIT Press |
| Total Pages | : 398 |
| Release | : 1999 |
| Genre | : Business & Economics |
| ISBN | : 9780262531894 |
This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.
| Author | : C. W. J. Granger |
| Publisher | : Academic Press |
| Total Pages | : 353 |
| Release | : 2014-05-10 |
| Genre | : Business & Economics |
| ISBN | : 1483273245 |
Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.
| Author | : Peter Fuleky |
| Publisher | : Springer Nature |
| Total Pages | : 716 |
| Release | : 2019-11-28 |
| Genre | : Business & Economics |
| ISBN | : 3030311503 |
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.
| Author | : Eric Ghysels |
| Publisher | : Oxford University Press |
| Total Pages | : 617 |
| Release | : 2018 |
| Genre | : Business & Economics |
| ISBN | : 0190622016 |
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.
| Author | : Philip Hans Franses |
| Publisher | : Cambridge University Press |
| Total Pages | : 421 |
| Release | : 2014-04-24 |
| Genre | : Business & Economics |
| ISBN | : 1139952129 |
With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.
| Author | : N. Carnot |
| Publisher | : Springer |
| Total Pages | : 335 |
| Release | : 2005-08-12 |
| Genre | : Business & Economics |
| ISBN | : 0230005810 |
Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting. In addition, the book addresses the main issues surrounding the use of forecasts (accuracy, communication challenges) and their policy implications. A tour of the economic data and forecasting institutions is also provided.
| Author | : Graham Elliott |
| Publisher | : Elsevier |
| Total Pages | : 667 |
| Release | : 2013-08-23 |
| Genre | : Business & Economics |
| ISBN | : 0444627405 |
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 | : Andrew C. Harvey |
| Publisher | : Cambridge University Press |
| Total Pages | : 574 |
| Release | : 1990 |
| Genre | : Business & Economics |
| ISBN | : 9780521405737 |
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.
| Author | : Michael P. Clements |
| Publisher | : OUP USA |
| Total Pages | : 732 |
| Release | : 2011-07-08 |
| Genre | : Business & Economics |
| ISBN | : 0195398645 |
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.
