Short Term Forecasting For Empirical Economists

Author : Máximo Camacho,Gabriel Perez-Quiros,Pilar Poncela
Publisher : Unknown
Page : 59 pages
File Size : 49,7 Mb
Release : 2013
Category : Economic forecasting
ISBN : 1601987439

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Short-term Forecasting for Empirical Economists by Máximo Camacho,Gabriel Perez-Quiros,Pilar Poncela Pdf

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 : Terence C. Mills
Publisher : Cambridge University Press
Page : 392 pages
File Size : 45,7 Mb
Release : 1990
Category : Business & Economics
ISBN : 0521405742

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Time Series Techniques for Economists by Terence C. Mills Pdf

The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.

Author : Hans G. Graf
Publisher : Bloomsbury Publishing USA
Page : 264 pages
File Size : 46,5 Mb
Release : 2002-08-30
Category : Business & Economics
ISBN : 9780313017414

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Economic Forecasting for Management by Hans G. Graf Pdf

Before future-oriented information can be used as a basis for decision making in economics or business administration, it must be understood on a methodological level. This book provides decision makers with a thorough understanding of the possibilities offered by various forecasting methods as well as their limitations. If managers rely on a forecast with a long-term perspective to guide them in making short-term decisions, planning deficiencies will likely result. Likewise, if managers use short-term forecasts to inform their long-term strategic vision, failure could easily ensue. Graf provides the tools necessary to sidestep the common pitfall of using the wrong forecasting technique for the wrong purpose. This is not a detailed examination of the mathematical and statistical tools of empirical economic research. Instead, forecasting methods are explained so that they can be understood by the managers who employ them in their decision making. Graf demonstrates that understanding and—in special cases—cooperation between forecast developers and users is crucial to creating an effective forecast that results in informed management decisions. He discusses traditional, long-term, macroeconomic, and global economic forecasting; the scenario technique as a central instrument of long-term forecasting; and short-term economic and market forecasting.

Author : Karl-Heinz Tödter
Publisher : Unknown
Page : 52 pages
File Size : 49,9 Mb
Release : 2016
Category : Electronic
ISBN : OCLC:1306165126

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How Useful is the Carry-Over Effect for Short-Term Economic Forecasting? by Karl-Heinz Tödter Pdf

The carry-over effect is the advance contribution of the old year to growth in the new year. Among practitioners the informative content of the carry-over effect for short-term forecasting is undisputed and is used routinely in economic forecasting. In this paper, the carry-over effect is analysed 'statistically' and it is shown how it reduces the uncertainty of short-term economic forecasts. This is followed by an empirical analysis of the carry-over effect using simple forecast models as well as Bundesbank and Consensus projections.

Author : Victor Zarnowitz,National Bureau of Economic Research
Publisher : Unknown
Page : 168 pages
File Size : 40,9 Mb
Release : 1967
Category : Economic forecasting
ISBN : UCAL:B3416561

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An Appraisal of Short-term Economic Forecasts by Victor Zarnowitz,National Bureau of Economic Research Pdf

First report on a study of short term economic forecasting in the USA. Statistical tables, and references.

Author : Graham Elliott,Allan Timmermann
Publisher : Princeton University Press
Page : 568 pages
File Size : 44,7 Mb
Release : 2016-04-05
Category : Business & Economics
ISBN : 9781400880898

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Economic Forecasting by Graham Elliott,Allan Timmermann Pdf

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 : Mervin Daub
Publisher : McGill-Queen's Press - MQUP
Page : 249 pages
File Size : 40,7 Mb
Release : 1987-11-01
Category : Business & Economics
ISBN : 9780773561465

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Canadian Economic Forecasting by Mervin Daub Pdf

Daub discusses both the rationale for the practice of forecasting and the methods commonly used, and traces the history of aggregate economic forecasting in Canada, examining the structure, conduct, and performance of the present forecasting "industry," particularly the nature of demand and supply, pricing and promotion considerations, and profits and efficiency. He also examinines factors which influence the accuracy of forecasts and reviews the record of Canadian forecasting. In the last chapters Daub considers public policy aspects of economic forecasting. Should forecasters be held liable for inaccurate forecasts? Should they be subject to regulation? He concludes by observing that the practice of forecasting is inextricably linked to our sense of time, as is the very different exercise of time-keeping with clocks or watches. It is socially complex, highly institutionalized, and informed by the many and varied visions we carry of the world. Through it we attempt to organize and shape our individual and collective futures. Until uncertainty is eliminated from human affairs, forecasting will continue to be a necessary social practice, despite recurring bouts of cynicism as to its worth.

Author : Thomas Url,Andreas Wörgötter
Publisher : Springer Science & Business Media
Page : 245 pages
File Size : 40,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642997822

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Econometrics of Short and Unreliable Time Series by Thomas Url,Andreas Wörgötter Pdf

The disappearance of central planned economies left politicians, researchers, consultants, and academics with an interest in economies in transition in vagueness about the actual state of the economy and its short and medium term prospects. This volume provides the reader with information on how to deal with the statistical shortcomings of economies in transition. Most economic variables published for these countries tend to encompass a short period of time or they possess a low measurement quality. Moreover, most of the series are subject to structural breaks, due to the change in the patterns of economic reactions over time. The contributions in this volume show various ways to solve or at least to lessen the before mentioned problems.

Author : Jean-Marie Dufour,Baldev Raj
Publisher : Springer Science & Business Media
Page : 248 pages
File Size : 44,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642487422

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New Developments in Time Series Econometrics by Jean-Marie Dufour,Baldev Raj Pdf

This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.

Author : George Polanyi
Publisher : Unknown
Page : 102 pages
File Size : 40,9 Mb
Release : 1973
Category : Business & Economics
ISBN : UOM:39015030458908

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Short-term Forecasting by George Polanyi Pdf

Author : Michael P. Clements,David F. Hendry
Publisher : John Wiley & Sons
Page : 616 pages
File Size : 43,5 Mb
Release : 2008-04-15
Category : Social Science
ISBN : 9781405171915

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A Companion to Economic Forecasting by Michael P. Clements,David F. Hendry Pdf

A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.

Author : Anonim
Publisher : Unknown
Page : 349 pages
File Size : 43,7 Mb
Release : 1955
Category : Electronic
ISBN : OCLC:1024417214

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Short-term Economic Forecasting by Anonim Pdf

Author : Philip Hans Franses
Publisher : Cambridge University Press
Page : 300 pages
File Size : 53,7 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 0521586410

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Time Series Models for Business and Economic Forecasting by Philip Hans Franses Pdf

An introduction to time series models for business and economic forecasting.

Author : Graham Elliott,Allan Timmermann
Publisher : Elsevier
Page : 1016 pages
File Size : 55,9 Mb
Release : 2013-10-24
Category : Business & Economics
ISBN : 9780444627414

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Handbook of Economic Forecasting by Graham Elliott,Allan Timmermann Pdf

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 : Clive William John Granger,Paul Newbold
Publisher : Unknown
Page : 428 pages
File Size : 53,5 Mb
Release : 1977
Category : Business & Economics
ISBN : STANFORD:36105036838881

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Forecasting Economic Time Series by Clive William John Granger,Paul Newbold Pdf

This book has been updated to reflect developments in time series analysis and forecasting theory and practice, particularly as applied to economics. The second edition pays attention to such problems as how to evaluate and compare forecasts.