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Author : Malte Knüppel
Publisher :
ISBN 13 : 9783957291004
Total Pages : 22 pages
Book Rating : 4.2/5 (91 download)
Download or read book Forecast-error-based Estimation of Forecast Uncertainty when the Horizon is Increased written by Malte Knüppel and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Malte Knüppel
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (13 download)
Download or read book Efficient Estimation of Forecast Uncertainty Based on Recent Forecast Errors written by Malte Knüppel and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such samples are investigated. Considering optimal forecasts, the efficiency gains can be substantial if the sample is not too large. If forecast uncertainty is estimated by seemingly unrelated regressions, the covariance matrix of the squared forecast errors does not have to be estimated, but simply needs to have a certain structure. In Monte Carlo studies it is found that seemingly unrelated regressions mostly yield estimates which are more efficient than the sample means even if the forecasts are not optimal. Seemingly unrelated regressions are used to address questions concerning the inflation forecast uncertainty of the Bank of England.
Author :
Publisher :
ISBN 13 :
Total Pages : 476 pages
Book Rating : 4.3/5 (555 download)
Download or read book Proposed Canadian National Railway Company Acquisition of the Elgin, Joliet & Eastern Railway Company written by and published by . This book was released on 2008 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David E. Rapach
Publisher : Emerald Group Publishing
ISBN 13 : 044452942X
Total Pages : 691 pages
Book Rating : 4.4/5 (445 download)
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.
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 : 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 : Md. Rashed Chowdhury
Publisher : Springer Nature
ISBN 13 : 3031178254
Total Pages : 225 pages
Book Rating : 4.0/5 (311 download)
Download or read book Seasonal Flood Forecasts and Warning Response Opportunities written by Md. Rashed Chowdhury and published by Springer Nature. This book was released on 2022-11-16 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the feasibility of using El Niño-Southern Oscillation (ENSO)-based forecasts and early warning systems to prevent losses from floods and droughts in Bangladesh. Despite advances in short-range flood forecasting and information dissemination systems in Bangladesh, the present system is less than satisfactory. This is due to short lead-time products, outdated dissemination networks, and lack of direct feedback from the end-user. One viable solution is to produce long-lead seasonal forecasts—the demand for which is significantly increasing in Bangladesh— and disseminate these products through appropriate channels. As observed in other regions, the success of seasonal forecasts, in contrast to short-term forecasts, depends on consensus among the participating institutions. Therefore, the primary objective of the book is to revisit and modify the framework of an ideal warning response system for issuance of consensus seasonal flood forecasts in Bangladesh. The book discusses issues related to the 5-stage Flood Forecasts, Warning, and Response System (FFWRS) and emphasizes the role of the seasonal ‘Climate Outlook Forum (COF)’ in Bangladesh. The book also identifies ways to improve forecasting and early warning systems by utilizing ENSO-based climate data and models, and discusses a comprehensive and participatory approach to seasonal flood hazard management in Bangladesh. Several successful case examples of ENSO-based seasonal forecasts and early warning systems from other ENSO-sensitive regions have been documented. The primary audience includes academics and students, government policymakers, engineers, and business leaders.
Author : Francesco Ravazzolo
Publisher : Rozenberg Publishers
ISBN 13 : 9051709145
Total Pages : 198 pages
Book Rating : 4.0/5 (517 download)
Download or read book Forecasting Financial Time Series Using Model Averaging written by Francesco Ravazzolo and published by Rozenberg Publishers. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Author : David F. Hendry
Publisher : Princeton University Press
ISBN 13 : 1400845653
Total Pages : 378 pages
Book Rating : 4.4/5 (8 download)
Download or read book Econometric Modeling written by David F. Hendry and published by Princeton University Press. This book was released on 2012-06-21 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
Author : Michael P. Clements
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.E/5 ( download)
Download or read book Forecasting with Difference-stationary and Trend-stationary Models written by Michael P. Clements and published by . This book was released on 2000 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nazaré da Costa Cabral
Publisher : Springer
ISBN 13 : 3319666703
Total Pages : 425 pages
Book Rating : 4.3/5 (196 download)
Download or read book After Brexit written by Nazaré da Costa Cabral and published by Springer. This book was released on 2017-12-18 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: This topical and important book identifies the short to medium-term economic, financial and social consequences of Brexit. Containing perspectives from leading thinkers across legal, economic and financial fields, it considers both the general effect of UK withdrawal on the European integration process, and the specific impact on the free movement of capital, goods and people. Addressing the main areas within both the UK and the EU that can and will be affected by Brexit, including the financial sector, immigration, social rights and social security, After Brexit: Consequences for the European Union will make fascinating reading for all those currently engaged in the study and practice of Law, Economics, Finance, Political Science, Philosophy, History and International Affairs.
Author :
Publisher :
ISBN 13 : 9814472360
Total Pages : pages
Book Rating : 4.8/5 (144 download)
Download or read book Econometric Forecasting and High-Frequency Data Analysis written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haraldur Olafsson
Publisher : Elsevier
ISBN 13 : 0128157100
Total Pages : 366 pages
Book Rating : 4.1/5 (281 download)
Download or read book Uncertainties in Numerical Weather Prediction written by Haraldur Olafsson and published by Elsevier. This book was released on 2020-11-25 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncertainties in Numerical Weather Prediction is a comprehensive work on the most current understandings of uncertainties and predictability in numerical simulations of the atmosphere. It provides general knowledge on all aspects of uncertainties in the weather prediction models in a single, easy to use reference. The book illustrates particular uncertainties in observations and data assimilation, as well as the errors associated with numerical integration methods. Stochastic methods in parameterization of subgrid processes are also assessed, as are uncertainties associated with surface-atmosphere exchange, orographic flows and processes in the atmospheric boundary layer. Through a better understanding of the uncertainties to watch for, readers will be able to produce more precise and accurate forecasts. This is an essential work for anyone who wants to improve the accuracy of weather and climate forecasting and interested parties developing tools to enhance the quality of such forecasts. Provides a comprehensive overview of the state of numerical weather prediction at spatial scales, from hundreds of meters, to thousands of kilometers Focuses on short-term 1-15 day atmospheric predictions, with some coverage appropriate for longer-term forecasts Includes references to climate prediction models to allow applications of these techniques for climate simulations
Author : Gloria González-Rivera
Publisher : Routledge
ISBN 13 : 1315510405
Total Pages : 511 pages
Book Rating : 4.3/5 (155 download)
Download or read book Forecasting for Economics and Business written by Gloria González-Rivera and published by Routledge. This book was released on 2016-12-05 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: For junior/senior undergraduates in a variety of fields such as economics, business administration, applied mathematics and statistics, and for graduate students in quantitative masters programs such as MBA and MA/MS in economics. A student-friendly approach to understanding forecasting. Knowledge of forecasting methods is among the most demanded qualifications for professional economists, and business people working in either the private or public sectors of the economy. The general aim of this textbook is to carefully develop sophisticated professionals, who are able to critically analyze time series data and forecasting reports because they have experienced the merits and shortcomings of forecasting practice.
Author : Graham Elliott
Publisher : Princeton University Press
ISBN 13 : 0691140138
Total Pages : 566 pages
Book Rating : 4.6/5 (911 download)
Download or read book Economic Forecasting written by Graham Elliott and published by Princeton University Press. This book was released on 2016-04-05 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Mr.Peter F. Christoffersen
Publisher : International Monetary Fund
ISBN 13 : 1451848137
Total Pages : 31 pages
Book Rating : 4.4/5 (518 download)
Download or read book Cointegration and Long-Horizon Forecasting written by Mr.Peter F. Christoffersen and published by International Monetary Fund. This book was released on 1997-05-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.
Author : J. C. G. van Vlimmeren
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.3/5 ( download)
Download or read book Composition and Pattern of the Forecast Uncertainty Due to Unreliable Data written by J. C. G. van Vlimmeren and published by . This book was released on 1991 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
