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Forecasting In The Presence Of Structural Change
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Book Synopsis Economic Structural Change by : Peter Hackl
Download or read book Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Statistical Analysis and Forecasting of Economic Structural Change by : Peter Hackl
Download or read book Statistical Analysis and Forecasting of Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1984, the University of Bonn (FRG) and the International Institute for Applied System Analysis (IIASA) in Laxenburg (Austria), created a joint research group to analyze the relationship between economic growth and structural change. The research team was to examine the commodity composition as well as the size and direction of commodity and credit flows among countries and regions. Krelle (1988) reports on the results of this "Bonn-IIASA" research project. At the same time, an informal IIASA Working Group was initiated to deal with prob lems of the statistical analysis of economic data in the context of structural change: What tools do we have to identify nonconstancy of model parameters? What type of models are particularly applicable to nonconstant structure? How is forecasting affected by the presence of nonconstant structure? What problems should be anticipated in applying these tools and models? Some 50 experts, mainly statisticians or econometricians from about 15 countries, came together in Lodz, Poland (May 1985); Berlin, GDR (June 1986); and Sulejov, Poland (September 1986) to present and discuss their findings. This volume contains a selected set of those conference contributions as well as several specially invited chapters.
Book Synopsis Economic Structural Change by : Peter Hackl
Download or read book Economic Structural Change written by Peter Hackl and published by Springer. This book was released on 1991-05-02 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Book Synopsis Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change by : Liudas Giraitis
Download or read book Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change written by Liudas Giraitis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Forecasting in the Presence of Structural Change by : Barry K. Goodwin
Download or read book Forecasting in the Presence of Structural Change written by Barry K. Goodwin and published by . This book was released on 1990 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling and Forecasting in the Presence of Structural Change in the Linear Regression Model by : Mohammad Nurul Azam
Download or read book Modelling and Forecasting in the Presence of Structural Change in the Linear Regression Model written by Mohammad Nurul Azam and published by . This book was released on 2001 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances in Economic Forecasting by : Matthew L. Higgins
Download or read book Advances in Economic Forecasting written by Matthew L. Higgins and published by W.E. Upjohn Institute. This book was released on 2011 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book's contributors assess the performance of economic forecasting methods, argue that data can be better exploited through model and forecast combination, and advocate for models that are adaptive and perform well in the presence of nonlinearity and structural change.
Book Synopsis Forecasting in the Presence of Recent Structural Change by :
Download or read book Forecasting in the Presence of Recent Structural Change written by and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting in the Presence of Structural Breaks and Policy Regime Shifts by : David F. Hendry
Download or read book Forecasting in the Presence of Structural Breaks and Policy Regime Shifts written by David F. Hendry and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Contribution of Structural Break Models to Forecasting Macroeconomic Series by : Luc Bauwens
Download or read book The Contribution of Structural Break Models to Forecasting Macroeconomic Series written by Luc Bauwens and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance. However, there are also many cases where simple, rolling window based forecasts perform well.
Book Synopsis Optimal Forecasts in the Presence of Discrete Structural Breaks Under Long Memory by : Mwasi Paza Mboya
Download or read book Optimal Forecasts in the Presence of Discrete Structural Breaks Under Long Memory written by Mwasi Paza Mboya and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting performance under long memory. We further present an empirical application to in inflation rates that emphasizes the importance of our methods.
Book Synopsis Forecasting with Small Macroeconomic VARs in the Presence of Instabilities by : Todd E. Clark
Download or read book Forecasting with Small Macroeconomic VARs in the Presence of Instabilities written by Todd E. Clark and published by . This book was released on 2007 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Small-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices, and interest rates to modeling expectations formation in theoretical models. However, a body of recent work suggests such VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, observation windows for estimation, (over-) differencing, intercept correction, stochastically time--varying parameters, break dating, discounted least squares, Bayesian shrinkage, detrending of inflation and interest rates, and model averaging. Focusing on simple models of U.S. output, prices, and interest rates, this paper compares the effectiveness of such methods. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models, the Survey of Professional Forecasters and the Federal Reserve Board's Greenbook as benchmarks
Book Synopsis Essays on Structural Breaks and Forecasting in Econometric Models by : Yaein Baek
Download or read book Essays on Structural Breaks and Forecasting in Econometric Models written by Yaein Baek and published by . This book was released on 2019 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Instability of parametric models is a common problem in many fields of economics. In econometrics, these changes in the underlying data generating process are referred to as structural breaks. Although there is an extensive literature on estimation and statistical tests of structural breaks, existing methods fail to adequately capture a break. This dissertation consists of three papers on developing econometric methods for structural breaks and forecasting. The first chapter develops a new method in estimating the location of a structural break in a linear model and provide theoretical results and empirical applications of the estimator. In finite sample the conventional least-squares estimates a break occurred at either ends of the sample with high probability, regardless of the true break point. I suggest an estimator of the break point that resolves this pile up issue and thus, provide a more accurate estimate of the break. The second chapter constructs a statistical test to test existence of a structural break when the direction of the parameter shift is known. In practice it is likely that a researcher is interested in testing for a structural break in a particular direction because the direction is known, such as policy change or historical data. We incorporate this information in constructing three tests that have higher power when direction is correctly specified. The last chapter proposes a multi-period forecasting method that is robust to model misspecification. When we are interested in obtaining long horizon ahead forecasts, the direct forecast method is more favorable than the iterated forecast because it is more robust to misspecification. However, direct forecast estimates tend to have jagged shapes across horizons. I use a mechanism analogous to ridge regression on the direct forecast model to maintain robustness while smoothing out erratic estimates.
Book Synopsis Forecasting Long Memory Series Subject to Structural Change by : Fotis Papailias
Download or read book Forecasting Long Memory Series Subject to Structural Change written by Fotis Papailias and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Improved Tests for Forecast Comparisons in the Presence of Instabilities by : Luis Filipe Martins
Download or read book Improved Tests for Forecast Comparisons in the Presence of Instabilities written by Luis Filipe Martins and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Of interest is comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. To that effect, we suggest using simple structural change tests, sup-Wald and UDmax for changes in the mean of the loss differences. It is shown that Giacomini and Rossi ([Giacomini R, 2010]) tests have undesirable power properties, power that can be low and non-increasing as the alternative becomes further from the null hypothesis. On the contrary, our statistics are shown to have higher monotonic power, especially the UDmax version. We use their empirical examples to show the practical relevance of the issues raised.
