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Author : A. C. Fenwick
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 (9 download)
Download or read book Two Essays on Econometric Forecasting with an Econometric Model written by A. C. Fenwick and published by . This book was released on 1974 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lawrence Robert Klein
Publisher : Chicago : Markham Publishing Company
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.3/5 (91 download)
Download or read book An Essay on the Theory of Economic Prediction written by Lawrence Robert Klein and published by Chicago : Markham Publishing Company. This book was released on 1970 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hyun Hak Kim
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (89 download)
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.
Author : R.A.L. Carter
Publisher : Springer Science & Business Media
ISBN 13 : 1461390168
Total Pages : 378 pages
Book Rating : 4.4/5 (613 download)
Download or read book Contributions to Econometric Theory and Application written by R.A.L. Carter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this volume is to honour a pioneer in the field of econometrics, A. L. Nagar, on the occasion of his sixtieth birthday. Fourteen econometricians from six countries on four continents have contributed to this project. One of us was his teacher, some of us were his students, many of us were his colleagues, all of us are his friends. Our volume opens with a paper by L. R. Klein which discusses the meaning and role of exogenous variables in struc tural and vector-autoregressive econometric models. Several examples from recent macroeconomic history are presented and the notion of Granger-causality is discussed. This is followed by two papers dealing with an issue of considerable relevance to developing countries, such as India; the measurement of the inequality in the distribution of income. The paper by C. T. West and H. Theil deals with the problem of measuring inequality of all components of total income vvithin a region, rather than just labour income. It applies its results to the regions of the United States. The second paper in this group, by N. Kakwani, derives the large-sample distributions of several popular inequality measures, thus providing a method for drawing large-sample inferences about the differences in inequality between regions. The techniques are applied to the regions of Cote d'Ivoire. The next group of papers is devoted to econometric theory in the context of the dynamic, simultaneous, linear equations model. The first, by P. J.
Author : L.R. Klein
Publisher : Springer Science & Business Media
ISBN 13 : 9400904630
Total Pages : 274 pages
Book Rating : 4.4/5 (9 download)
Download or read book Economics in Theory and Practice: An Eclectic Approach written by L.R. Klein and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lawrence Klein, University of Pennsylvania Jaime Marquez, Federal Reserve BoarrI* All examination of the economics literature over the last twenty years reveals a marked tendency towards polarisation. On the one hand, there has been a propensity to develop theoretical models which have little connection with either empirical verification or problems requiring immediate attention. On the other iland, empirical analyses are generally typified by testing for its own sake, with limited examination of the implications of the results. As a result, the number of papers confronting theory with facts towards the solution of economic problems has been on the decline for years. To fill this growing gap in the literature, we have invited a number of authors to write papers using both theoretical and empirical techniques to address current issues of interest to the profession at large: the US trade deficit and the global implications of policies that attempt to reduce it, the international ramifications of the debt crisis, the international oil market and its implications for the US oil industry, and the development of new econometric techniques. In addressing these issues, each author has approached the subject matter from an eclectic standpoint - that is, avoiding strict adherence to a given doctrine.
Author : Qing Tian
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.:/5 (845 download)
Download or read book Essays on Econometric Forecasting written by Qing Tian and published by . This book was released on 2010 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes towards the improvement of model-based econometric forecast performance under realistic forecast environments, such as when information about in-sample structural breaks is unknown or when the forecast users' loss function is not based on squared-errors.
Author : Clive W. J. Granger
Publisher : Cambridge University Press
ISBN 13 : 9780521772976
Total Pages : 544 pages
Book Rating : 4.7/5 (729 download)
Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-08-06 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
Author : Donald W. K. Andrews
Publisher : Cambridge University Press
ISBN 13 : 1139444603
Total Pages : 589 pages
Book Rating : 4.1/5 (394 download)
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-07-04 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
Author : Xiaohong Chen
Publisher : Springer Science & Business Media
ISBN 13 : 1461416531
Total Pages : 582 pages
Book Rating : 4.4/5 (614 download)
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.
Author : C. W. J. Granger
Publisher :
ISBN 13 : 9780521796972
Total Pages : pages
Book Rating : 4.7/5 (969 download)
Download or read book Essays in Econometrics written by C. W. J. Granger and published by . This book was released on 2001-07-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Vol. I: This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors. Vol. II: This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
Author : Roberto S. Mariano
Publisher : World Scientific
ISBN 13 : 9812778969
Total Pages : 200 pages
Book Rating : 4.8/5 (127 download)
Download or read book Econometric Forecasting and High-frequency Data Analysis written by Roberto S. Mariano and published by World Scientific. This book was released on 2008 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.
Author : Yaein Baek
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.:/5 (11 download)
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.
Author : Tim Bollerslev
Publisher : OUP Oxford
ISBN 13 : 0191572195
Total Pages : 432 pages
Book Rating : 4.1/5 (915 download)
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.
Author : Detelina Ivanova
Publisher :
ISBN 13 :
Total Pages : 244 pages
Book Rating : 4.:/5 (11 download)
Download or read book Uncertainty, Sentiment, and Expectations written by Detelina Ivanova and published by . This book was released on 2000 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert S. Pindyck
Publisher :
ISBN 13 :
Total Pages : 664 pages
Book Rating : 4.3/5 (91 download)
Download or read book Econometric Models and Economic Forecasts written by Robert S. Pindyck and published by . This book was released on 1998 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: This updated edition of the text has been restructured into four parts: multiple regression model; single-equation regression models; revised exposition and a small macroeconomic model; and a revised treatment of time-series analysis.
Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
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
Author : Albert Rex Bergstrom
Publisher : Wiley-Blackwell
ISBN 13 : 9781557861108
Total Pages : 406 pages
Book Rating : 4.8/5 (611 download)
Download or read book Models, Methods, and Applications of Econometrics written by Albert Rex Bergstrom and published by Wiley-Blackwell. This book was released on 1993 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: The twenty especially commissioned esays in this volume cover a wide field of recent and topical research dealing with both theory and application of econometrics. The contributors comprise an international and distinguished group of economists, econometricians, modelers and statisticians. The volume will be of wide interest to all those concernedd with modelling, forecasting and other applications of econometrics. The volume is divided into five parts according to separate themes of research that include continuoustime modelling, finite sample theory, dynamic econometric modeling, and empirical applications in macroeconomics, industry and finance. The essays make methodological, empirical and theoretical advances in each of these fields, including many recent topics of intense research such as nonlinear modeling, parameter parsimony, business cycles, Euler equation methodology, rational expectations, vector autoregressions, cointegrated systems, unit roots and semiparametric models. The volume is dedicated to A. R. Bergstrom and contains a review of his research in these various fields and his essay, What is Econometrics?
