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Forecasting Macroeconomic Variables Using Diffusion Indexes In Short Samples With Structural Change
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Book Synopsis Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change by : Anindya Banerjee
Download or read book Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change written by Anindya Banerjee and published by . This book was released on 2008 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Forecasting Macroeconomic Variables Using Mixed Frequency Data by : Kihwan Kim
Download or read book Essays on Forecasting Macroeconomic Variables Using Mixed Frequency Data written by Kihwan Kim and published by . This book was released on 2016 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigate the forecasting performance of mixed frequency factor models with mixed frequency dataset. In the first chapter, I consider the mixed fre- quency factor approach used in ADS (2009) to construct their co-incident activity index, and ask the question of whether a class of mixed frequency indexes is useful for predicting the future values of quarterly U.S. real GDP growth and monthly industrial production, unemployment and inflation. My forecasting assessment of the mixed frequency factor model is performed in conjunction with standard prediction models such as autoregression, multivariate distributed lag models, and diffu- sion index models of the variety examined by Stock and Watson (2002a). The main findings of the study are as follows. First, prediction models using only mixed frequency indexes show their best performance at short-term GDP forecasting horizons, and are particularly good during recessions. Second, prediction models using both mixed frequency indexes and diffusion indexes forecast monthly variables more accurately than models using single frequency type indexes. Third, model combi- nations perform relatively poorly in real GDP forecasting contexts, although they perform better when applied to the prediction of monthly variables. Fourth, survey information can be conveniently exploited with higher frequency variables such as daily and weekly variables, and mixed frequency indexes using such survey information are sometimes useful in forecasting lower frequency variables. In the second chapter, I evaluate the predictive performance of hybrid models for forecasting four economic variables. The hybrid approach takes into account the notion that simple autoregression and sophisticated factor models' predictive abilities may change according to the state of the econ- omy. I find that hybrid prediction models produce better forecasts than standard models and than combination models, in most cases, using the same menu of models discussed above. For example, in one-quarter ahead GDP forecasts, the best hybrid model reduces the mean squared forecast error of the best model combinations and the linear models by 14 and 11 percent, on average, respectively. More specifically, the mean squared forecast error of autoregression is reduced by approximately 35 percent. In 12-month ahead predictions of inflation, the best hybrid model improves the best model combinations and the linear models by 11 percent and 16 percent, on average, respectively. This number again increases, in this case to 36 percent, when comparing only with autoregression. One reason for these findings is that hybrid prediction models more effectively utilize survey information.
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 Macroeconomic Forecasting in the Era of Big Data by : Peter Fuleky
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Book Synopsis Forecasting Macroeconomic Variables Using Shrinkage Methods, Diffusion Indexes, and Model Combinations by : Benedikt Schwab
Download or read book Forecasting Macroeconomic Variables Using Shrinkage Methods, Diffusion Indexes, and Model Combinations written by Benedikt Schwab and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Seeing Inside the Black Box by : Nii Ayi Armah
Download or read book Seeing Inside the Black Box written by Nii Ayi Armah and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this paper, we begin by surveying the extant literature on diffusion indexes. We then outline a number of approaches to the selection of factor proxies (observed variables that proxy unobserved estimated factors) using the statistics developed in Bai and Ng (2006a,b). Our approach to factor proxy selection is examined via a small Monte Carlo experiment, where evidence supporting our proposed methodology is presented, and via a large set of prediction experiments using the panel dataset of Stock and Watson (2005). One of our main empirical findings is that our "smoothed" approaches to factor proxy selection appear to yield predictions that are often superior not only to a benchmark factor model, but also to simple linear time series models which are generally difficult to beat in forecasting competitions. In some sense, by using our approach to predictive factor proxy selection, one is able to open up the "black box" often associated with factor analysis, and to identify actual variables that can serve as primitive building blocks for (prediction) models of a host of macroeconomic variables, and that can also serve as policy instruments, for example. Our findings suggest that important observable variables include various S&P500 variables, including stock price indices and dividend series; a 1-year Treasury bond rate; various housing activity variables; industrial production; and exchange rates.
Book Synopsis The Methodology and Practice of Econometrics by : Jennifer Castle
Download or read book The Methodology and Practice of Econometrics written by Jennifer Castle and published by Oxford University Press. This book was released on 2009-04-30 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.
Book Synopsis The Oxford Handbook of Economic Forecasting by : Michael P. Clements
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by Oxford University Press. This book was released on 2011-06-29 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.
Book Synopsis Large Dimensional Factor Analysis by : Jushan Bai
Download or read book Large Dimensional Factor Analysis written by Jushan Bai and published by Now Publishers Inc. This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Book Synopsis Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes by : Feng Qu
Download or read book Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes written by Feng Qu and published by World Scientific. This book was released on 2020-08-24 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.
Book Synopsis The Oxford Handbook of Economic Forecasting by : Michael P. Clements
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.
Book Synopsis Macroeconomic Fluctuations and Policies by : Edouard Challe
Download or read book Macroeconomic Fluctuations and Policies written by Edouard Challe and published by MIT Press. This book was released on 2023-09-19 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic tools for analyzing macroeconomic fluctuations and policies, applied to concrete issues and presented within an integrated New Keynesian framework. This textbook presents the basic tools for analyzing macroeconomic fluctuations and policies and applies them to contemporary issues. It employs a unified New Keynesian framework for understanding business cycles, major crises, and macroeconomic policies, introducing students to the approach most often used in academic macroeconomic analysis and by central banks and international institutions. The book addresses such topics as how recessions and crises spread; what instruments central banks and governments have to stimulate activity when private demand is weak; and what “unconventional” macroeconomic policies might work when conventional monetary policy loses its effectiveness (as has happened in many countries in the aftermath of the Great Recession.). The text introduces the foundations of modern business cycle theory through the notions of aggregate demand and aggregate supply, and then applies the theory to the study of regular business-cycle fluctuations in output, inflation, and employment. It considers conventional monetary and fiscal policies aimed at stabilizing the business cycle, and examines unconventional macroeconomic policies, including forward guidance and quantitative easing, in situations of “liquidity trap”—deep crises in which conventional policies are either ineffective or have very different effects than in normal time. This book is the first to use the New Keynesian framework at the advanced undergraduate level, connecting undergraduate learning not only with the more advanced tools taught at the graduate level but also with the large body of policy-oriented research in academic journals. End-of-chapter problems help students master the materials presented.
Book Synopsis Macroeconomic Forecasting and Structural Change by : Antonello D'Agostino
Download or read book Macroeconomic Forecasting and Structural Change written by Antonello D'Agostino and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis How Financial Conditions Matter Differently across Latin America by : Mr.Luis Brandao-Marques
Download or read book How Financial Conditions Matter Differently across Latin America written by Mr.Luis Brandao-Marques and published by International Monetary Fund. This book was released on 2017-10-30 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The main findings are as follows. First, the estimated FCIs are influenced by a commodity cycle, a global financial cycle, as well as country-specific episodes of financial distress. Second, by early 2017, financial conditions remained favorable in most LA6 economies relative to historical standards. Third, the impact of financial shocks on economic activity widely varies across LA6 and is otherwise found to be stronger in periods of financial stress. Fourth, exposure to regional financial spillovers also differs across LA6.
Book Synopsis Unstable Diffusion Indexes by : Daniele Massacci
Download or read book Unstable Diffusion Indexes written by Daniele Massacci and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the empirically relevant problem of estimation and inference in diffusion index forecasting models with structural instability. Factor model and factor augmented regression both experience a structural change with different unknown break dates. In the factor model, we estimate factors and loadings by principal components. We consider least squares estimation of the factor augmented regression and propose a break test. The empirical application uncovers instabilities in the linkages between bond risk premia and macroeconomic factors.
Book Synopsis Business Cycles by : Victor Zarnowitz
Download or read book Business Cycles written by Victor Zarnowitz and published by University of Chicago Press. This book was released on 2007-11-01 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the most complete collection available of the work of Victor Zarnowitz, a leader in the study of business cycles, growth, inflation, and forecasting.. With characteristic insight, Zarnowitz examines theories of the business cycle, including Keynesian and monetary theories and more recent rational expectation and real business cycle theories. He also measures trends and cycles in economic activity; evaluates the performance of leading indicators and their composite measures; surveys forecasting tools and performance of business and academic economists; discusses historical changes in the nature and sources of business cycles; and analyzes how successfully forecasting firms and economists predict such key economic variables as interest rates and inflation.
Book Synopsis Short-Term Forecasting for Empirical Economists by : Maximo Camacho
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.
