Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Econometric Essays On Nonlinear Methods And Diffusion Index Forecasting
Download Econometric Essays On Nonlinear Methods And Diffusion Index Forecasting full books in PDF, epub, and Kindle. Read online Econometric Essays On Nonlinear Methods And Diffusion Index Forecasting ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Econometric Essays on Nonlinear Methods and Diffusion Index Forecasting by : Hyun Hak Kim
Download or read book Econometric Essays on Nonlinear Methods and Diffusion Index Forecasting written by Hyun Hak Kim and published by . This book was released on 2012 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises two essays in macroeconomic forecasting. The first essay empirically examines approaches to combining factor models and robust estimation, and presents the results of a "horse-race" in which mean-square-forecast-error (MSFE) "best" models are selected, in the context of a variety of forecast horizons, estimation window schemes and sample periods. For the majority of the target variables that we forecast, it is found that various of these shrinkage methods, when combined with simple factors formed using principal component analysis (e.g. component-wise boosting), perform better than all other models. It is also found that model averaging methods perform surprisingly poorly, given our prior that they would "win" in most cases. The second essays outlines and discusses a number of interesting new forecasting methods that have recently been developed in the statistics and econometrics literature. It focuses in particular on the examination of a variety of factor modeling methods, including principal components, independent component analysis (ICA) and sparse principal component analysis (SPCA). Further, it outlines a number of approaches for creating hybrid forecasting models that use these factor modeling approaches in conjunction with various type of shrinkage methods. The results show that pure factor modeling approaches alone are not enough to lead to our overall finding that simple linear econometric models as well as models based on various forecast combination strategies are dominated by more complicated (factor/shrinkage) type models.
Book Synopsis Essays in Nonlinear Time Series Econometrics by : Niels Haldrup
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Book Synopsis Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis by : Xiaohong Chen
Download or read book Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis written by Xiaohong Chen and published by Springer Science & Business Media. This book was released on 2012-08-01 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Essays in Time Series Econometrics by : Fei Han
Download or read book Essays in Time Series Econometrics written by Fei Han and published by . This book was released on 2012 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters dealing with different topics in time series econometrics including generalized method of moments (GMM) estimation and vector autoregressions (VAR). These econometric models have revolutionized empirical research in macroeconomics. Previous work by Hansen and Singleton (1982) showed that the GMM method can be applied to estimate nonlinear rational expectations models in a simple way that the models need not even be solved. The seminal work of Sims (1980) has demonstrated how VAR models can be used for macroeconomic forecasting and policy analysis. The objective of this dissertation is to provide some new econometric tools for applied research in macroeconomics using time series data. The first chapter develops an asymptotic theory for the GMM estimator in nonlinear econometric models with integrated regressors and instruments. We establish consistency and derive the limiting distribution of the GMM estimator for asymptotically homogeneous regression functions. The estimator is consistent under fairly general conditions, and the convergence rates are determined by the degree of the asymptotic homogeneity of regression functions. Similar to linear regressions, we find that the limiting distribution is generally biased and non-Gaussian, and that instruments themselves cannot eliminate the bias even when they are strictly exogenous. Therefore, GMM yields inefficient estimates and invalid $t$- and chi-square test statistics in general. By implementing the fully modified method developed by Phillips and Hansen (1990), we obtain an efficient GMM estimator which has an unbiased and mixed normal limiting distribution. In the second chapter, we develop a novel shock identification strategy in the context of two-country/block structural vector autoregressive (SVAR) models to identify the transmission of credit shocks. Specifically, we investigate how credit shocks originating in the U.S. or euro area affect domestic economic activity in emerging Asia. Shocks within each block are identified using sign restrictions, whereas shocks across the two blocks are identified using a recursive structure (block Cholesky decomposition). This strategy not only enables us to distinguish the external credit shock from the other structural shocks, but also captures the responses of the domestic country. The main findings include that the transmission of credit shocks across countries through the channel of credit contagion is fast and protracted. The adverse effects of external credit tightening are mitigated by domestic credit policy easing in China, but lead to significant decreases in credit and GDP growth in the other emerging Asian countries. We also find that the external credit shocks play a non-negligible role in driving economic fluctuations in emerging Asia, although the role is smaller in China. In the last chapter, we use a global vector autoregressive (GVAR) model to forecast the principal macroeconomic indicators of the original five ASEAN member countries (i.e. Indonesia, Malaysia, Philippines, Singapore, and Thailand). The GVAR model is a compact model of the world economy designed to explicitly model the economic and financial interdependencies at national and international levels. Our GVAR model covers twenty countries which are grouped into nine countries/regions. After applying vector error correction model (VECM) to estimate parameters in the GVAR, we generate twelve one-quarter-ahead forecasts of real GDP growth, inflation, short-term interest rates, real exchange rates, real equity prices, and world commodity prices over the period 2009Q1-2011Q4, with four out-of-sample forecasts during 2009Q1-2009Q4. Forecast evaluation based on the panel Diebold-Mariano (DM) tests shows that the forecasts of our GVAR model tend to outperform those of country-specific VAR models, especially for short-term interest rates and real equity prices. These results suggest that the interdependencies among countries in the global financial market play an important role in macroeconomic forecasting.
Book Synopsis Volatility and Time Series Econometrics by : Mark Watson
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Book Synopsis Volatility and Time Series Econometrics by : Tim Bollerslev
Download or read book Volatility and Time Series Econometrics written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Book Synopsis Essays in Nonlinear Dynamics in Economics and Econometrics by : Marcin Wolski
Download or read book Essays in Nonlinear Dynamics in Economics and Econometrics written by Marcin Wolski and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis explores the highly nonlinear profile of the modern financial world and assesses its relevance in monetary policy conduct and macroprudential supervision. It focuses on three possible different origins of nonlinear structures. Firstly, we study the role of the heterogeneous and boundedly rational expectations in driving the aggregate economic dynamics. Secondly, we investigate the irregularities of probability distributions and their consequences for quantitative inference. Thirdly, we assess the behavior of the global asset network through a prism of complex systems. Because of its extraordina1y relevance in the real world, a lot of attention is being paid to the banking side of the economy. The practical goal of this thesis is to provide the tools and general directions on how to incorporate possible nonlinear dependencies into existing economic modeling techniques. In times of very non-standard policy actions, these tools might prove to be of great importance as they offer more robust and flexible approaches to financial modeling and forecasting."--Samenvatting auteur.
Book Synopsis Nonlinear Methods in Econometrics by : Stephen M. Goldfeld
Download or read book Nonlinear Methods in Econometrics written by Stephen M. Goldfeld and published by Amsterdam : North-Holland Publishing Company. This book was released on 1972 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Nonlinear, Nonstationary Time Series Econometrics by : Mark Joseph Dwyer
Download or read book Essays in Nonlinear, Nonstationary Time Series Econometrics written by Mark Joseph Dwyer and published by . This book was released on 1995 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Nonlinear Time Series Econometrics by : Zhengfeng Guo
Download or read book Three Essays on Nonlinear Time Series Econometrics written by Zhengfeng Guo and published by . This book was released on 2011 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Nonlinear Econometric Time Series Modelling by : Christian Møller Dahl
Download or read book Essays on Nonlinear Econometric Time Series Modelling written by Christian Møller Dahl and published by . This book was released on 2000 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Nonlinear Econometrics by : Jacob Warren
Download or read book Essays in Nonlinear Econometrics written by Jacob Warren and published by . This book was released on 2017 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study standard models, but investigate the necessity of (possibly large) deviations from basic assumptions. In Chapter 1, my co-author Ross Askanazi and I revisit the use of factor models in finance. Historical literature on the subject decomposes volatility into a factor component (systemic risk) and a remainder (idiosyncratic risk). Recent work has suggested that a market shock to volatility may increase both systemic risk and idiosyncratic risk--specifically, that idiosyncratic volatility of US equities data has a factor structure, with the factor highly correlated with, and possibly precisely the market volatility. In this paper we attempt to characterize the underlying factor and find that it can be decomposed into a statistical (PCA) and structural (market volatility) factor. We also show that this feature is more common than expected, appearing in diverse sets of financial data. Lastly, we find that this dual-factor approach is slightly dominated in forecasting environments by a single statistical factor. In Chapter 2 I revisit the classical Vector Autoregression (VAR) model, but allow parameters to time-vary. Time-Varying parameter models have be- come more popular in recent years, especially as they are adapted to accommodate larger datasets. However, all recent developments use standard priors, specifically the Inverse-Wishart class of priors over the parameter error covariance matrix. In this paper, I show that Inverse-Wishart priors have a number of negative properties, and that those properties are salient in a TVP context since there is little information from the likelihood. Fully aware of these deficiencies, the Bayesian Random Effects literature has developed a series of uninformative priors to correct these weaknesses. In this paper, I adapt one of those priors into an informative and easily understandable prior for covariances. I show that the new prior effects posterior inference and displays improved frequentist properties. I apply my prior to the canonical Primiceri (2005) dataset and find that their results were sensitive to the choice of prior. I further apply the prior to two forecasting exercises and find that while it improves forecasts for the Primiceri data, it does not for an alternative (larger) dataset.
Book Synopsis Three Essays on Forecasting in Nonlinear Models by : Scott T. Murdoch
Download or read book Three Essays on Forecasting in Nonlinear Models written by Scott T. Murdoch and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Special Issue: Forecasting Economic and Financial Time Series Using Nonlinear Methods by : Michael P. Clements
Download or read book Special Issue: Forecasting Economic and Financial Time Series Using Nonlinear Methods written by Michael P. Clements and published by . This book was released on 2004 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonlinear Time Series Analysis in Financial Applications by : Robin Miao
Download or read book Nonlinear Time Series Analysis in Financial Applications written by Robin Miao and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this thesis is to examine the nonlinear relationships between financial (and economic) variables within the field of financial econometrics. The thesis comprises two reviews of literatures, one on nonlinear time series models andthe other one on term structure of interest rates, and four empirical essays on financialapplications using nonlinear modelling techniques. The first empirical essay compares different model specifications of a Markov switching CIR model on the term structure of UK interest rates. We find the least restricted model provides the best in-sample estimation results. Although models with restrictive specifications may provide slightly better out-of-sample forecasts in directional movements of the yields, the economic gains seem to be small. In the second essay, we jointly model the nominal and real term structure of the UK interest rates using a three-factor essentially affine no-arbitrage term structure model. The model-implied expected inflation rates are then used in the subsequent analysis on its nonlinear relationship with the FTSE 100 index return premiums, utilizing a smooth transition vector autoregressive model. We find the model implied expected inflation rates remain below the actual inflation rates after the independence of the Bank of England in 1997, and the recent sharp decline of the expected inflation rates may lend support to the standing ground of the central bank for keeping interest rates low. The nonlinearity test on the relationship between the FTSE 100 index return premiums and the expected inflation rates shows that there exists a nonlinear adjustment on the impact from lagged expected inflation rates to current return premiums. The third essay provides us additional insight into the nature of the aggregate stock market volatilities and its relationship to the expected returns, in a Markov switching model framework, using centuries-long aggregate stock market data from six countries (Australia, Canada, Sweden, Switzerland, UK and US). We find that the Markov switching model assuming both regime dependent mean and volatility with a 3-regime specification is capable to captures the extreme movements of the stock market which are short-lived. The volatility feedback effect that we studied on each of these six countries shows a positive sign on anticipating a high volatility regime of the current trading month. The investigation on the coherence in regimes over time for the six countries shows different results for different pairs of countries. In the last essay, we decompose the term premium of the North American CDX investment grade index into a permanent and a stationary component using a Markov switching unobserved component model. We explain the evolution of the two components in relating them to monetary policy and stock market variables. We establish that the inversion of the CDX index term premium is induced by sudden changes in the unobserved stationary component, which represents the evolution of the fundamentals underpinning the risk neutral probability of default in the economy. We find strong evidence that the unprecedented monetary policy response from the Fed during the crisis period was effective in reducing market uncertainty and helped to steepen the term structure of the CDX index, thereby mitigating systemic risk concerns. The impact of stock market volatility on flattening the term premium was substantially more robust in the crisis period. We also show that equity returns make a significant contribution to the CDX term premium over the entire sample period.
Book Synopsis Improved Construction of Diffusion Indexes for Macroeconomic Forecasting by : Christiaan Heij
Download or read book Improved Construction of Diffusion Indexes for Macroeconomic Forecasting written by Christiaan Heij and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Econometric Forecasting by : Lars E. Spreng
Download or read book Essays on Econometric Forecasting written by Lars E. Spreng and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
