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Author : Guido Bulligan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (81 download)
Download or read book Forecasting Economic Activity with Higher Frequency Targeted Predictors written by Guido Bulligan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Guido Bulligan
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (13 download)
Download or read book Forecasting Economic Activity with Higher Frequency Targeted Predictors written by Guido Bulligan and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we explore the performance of bridge and factor models in forecasting quarterly aggregates in the very short-term subject to a pre-selection of monthly indicators. Starting from a large information set, we select a subset of targeted predictors using data reduction techniques as in Bai and Ng (2008). We then compare a Diffusion Index forecasting model as in Stock and Watson (2002), with a Bridge model specified with an automated General-To-Specific routine. We apply these techniques to forecasting Italian GDP growth and its main components from the demand side and find that Bridge models outperform naive forecasts and compare favorably against factor models. Results for France, Germany, Spain and the euro area confirm these findings.
Author : Fabian Bürkin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (993 download)
Download or read book Forecasting Economic Time Series Using Targeted Predictors written by Fabian Bürkin and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fanning Meng
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (19 download)
Download or read book Economic Forecasting with Many Predictors written by Fanning Meng and published by . This book was released on 2017 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation is focused on the analysis of economic forecasting with a large number of predictors. The first chapter develops a novel forecasting method that minimizes the effects of weak predictors and estimation errors on the accuracy of equity premium forecasts. The proposed method is based on an averaging scheme applied to quantiles conditional on predictors selected by LASSO. The resulting forecasts outperform the historical average, and other existing models, by statistically and economically meaningful margins. In the second chapter, we find that incorporating distributional and high-frequency information into a forecasting model can produce substantial accuracy gains. Distributional information is included through a quantile combination approach, but estimation of quantile regressions with mixed-frequency data leads to a parameter proliferation problem. We consider extensions of the MIDAS and soft (hard) thresholding methods towards quantile regression. Our empirical study on GDP growth rate reveals a strong predictability gain when high-frequency and distributional information are adequately incorporated into the same forecasting model. The third chapter analyzes the wage effects of college enrollment for returning adults based on the NLSY79 data. To improve the estimation efficiency, we apply the double-selection model among time-varying features and individual fixed effects. The empirical results on hourly wage predictions show evidences towards the superiority of double-selection model over a fixed-effect model. Based on the double-selection model, we find significant and positive returns on years of college enrollment for the returning adults. On average, one more year's college enrollment can increase hourly wage of returning adults by $1.12, an estimate that is about 7.7% higher than that from the fixed-effect model.
Author : Christiana Anaxagorou
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Forecasting Economic Activity Using Preselected Predictors written by Christiana Anaxagorou and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maximo Camacho
Publisher :
ISBN 13 : 9781601987426
Total Pages : 74 pages
Book Rating : 4.9/5 (874 download)
Download or read book Short-Term Forecasting for Empirical Economists written by Maximo Camacho and published by . This book was released on 2013-11-01 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Rik W. Hafer
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (123 download)
Download or read book Forecasting Economic Activity written by Rik W. Hafer and published by . This book was released on 1985 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Valerio Bitetta
Publisher : Springer Nature
ISBN 13 : 3030669815
Total Pages : 161 pages
Book Rating : 4.0/5 (36 download)
Download or read book Mining Data for Financial Applications written by Valerio Bitetta and published by Springer Nature. This book was released on 2021-01-14 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised selected papers from the 5th Workshop on Mining Data for Financial Applications, MIDAS 2020, held in conjunction with ECML PKDD 2020, in Ghent, Belgium, in September 2020.* The 8 full and 3 short papers presented in this volume were carefully reviewed and selected from 15 submissions. They deal with challenges, potentialities, and applications of leveraging data-mining tasks regarding problems in the financial domain. *The workshop was held virtually due to the COVID-19 pandemic. “Information Extraction from the GDELT Database to Analyse EU Sovereign Bond Markets” and “Exploring the Predictive Power of News and Neural Machine Learning Models for Economic Forecasting” are available open access under a Creative Commons Attribution 4.0 International License via link.springer.com.
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author : Avi Goldfarb
Publisher : University of Chicago Press
ISBN 13 : 022620684X
Total Pages : 510 pages
Book Rating : 4.2/5 (262 download)
Download or read book Economic Analysis of the Digital Economy written by Avi Goldfarb and published by University of Chicago Press. This book was released on 2015-05-08 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a small and growing literature that explores the impact of digitization in a variety of contexts, but its economic consequences, surprisingly, remain poorly understood. This volume aims to set the agenda for research in the economics of digitization, with each chapter identifying a promising area of research. "Economics of Digitization "identifies urgent topics with research already underway that warrant further exploration from economists. In addition to the growing importance of digitization itself, digital technologies have some features that suggest that many well-studied economic models may not apply and, indeed, so many aspects of the digital economy throw normal economics in a loop. "Economics of Digitization" will be one of the first to focus on the economic implications of digitization and to bring together leading scholars in the economics of digitization to explore emerging research.
Author : Eric Ghysels
Publisher : Oxford University Press
ISBN 13 : 0190622016
Total Pages : 617 pages
Book Rating : 4.1/5 (96 download)
Download or read book Applied Economic Forecasting Using Time Series Methods written by Eric Ghysels and published by Oxford University Press. This book was released on 2018 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Sergio Consoli
Publisher : Springer Nature
ISBN 13 : 3030668916
Total Pages : 357 pages
Book Rating : 4.0/5 (36 download)
Download or read book Data Science for Economics and Finance written by Sergio Consoli and published by Springer Nature. This book was released on 2021 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.
Author : Jeff Fuhrer
Publisher : MIT Press
ISBN 13 : 026225820X
Total Pages : 517 pages
Book Rating : 4.2/5 (622 download)
Download or read book Understanding Inflation and the Implications for Monetary Policy written by Jeff Fuhrer and published by MIT Press. This book was released on 2009-09-11 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current perspectives on the Phillips curve, a core macroeconomic concept that treats the relationship between inflation and unemployment. In 1958, economist A. W. Phillips published an article describing what he observed to be the inverse relationship between inflation and unemployment; subsequently, the “Phillips curve” became a central concept in macroeconomic analysis and policymaking. But today's Phillips curve is not the same as the original one from fifty years ago; the economy, our understanding of price setting behavior, the determinants of inflation, and the role of monetary policy have evolved significantly since then. In this book, some of the top economists working today reexamine the theoretical and empirical validity of the Phillips curve in its more recent specifications. The contributors consider such questions as what economists have learned about price and wage setting and inflation expectations that would improve the way we use and formulate the Phillips curve, what the Phillips curve approach can teach us about inflation dynamics, and how these lessons can be applied to improving the conduct of monetary policy. Contributors Lawrence Ball, Ben Bernanke, Oliver Blanchard, V. V. Chari, William T. Dickens, Stanley Fischer, Jeff Fuhrer, Jordi Gali, Michael T. Kiley, Robert G. King, Donald L. Kohn, Yolanda K. Kodrzycki, Jane Sneddon Little, Bartisz Mackowiak, N. Gregory Mankiw, Virgiliu Midrigan, Giovanni P. Olivei, Athanasios Orphanides, Adrian R. Pagan, Christopher A. Pissarides, Lucrezia Reichlin, Paul A. Samuelson, Christopher A. Sims, Frank R. Smets, Robert M. Solow, Jürgen Stark, James H. Stock, Lars E. O. Svensson, John B. Taylor, Mark W. Watson
Author : Graham Elliott
Publisher : Newnes
ISBN 13 : 0444536841
Total Pages : 719 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Newnes. This book was released on 2013-08-23 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Michael Clements
Publisher : Cambridge University Press
ISBN 13 : 9780521634809
Total Pages : 402 pages
Book Rating : 4.6/5 (348 download)
Download or read book Forecasting Economic Time Series written by Michael Clements and published by Cambridge University Press. This book was released on 1998-10-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 13 : 0195398645
Total Pages : 732 pages
Book Rating : 4.1/5 (953 download)
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Cambridge University Press
ISBN 13 : 9780521565882
Total Pages : 258 pages
Book Rating : 4.5/5 (658 download)
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
