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The Use Of Encompassing Tests For Forecast Combinations
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Book Synopsis The Use of Encompassing Tests for Forecast Combinations by : Turgut Kisinbay
Download or read book The Use of Encompassing Tests for Forecast Combinations written by Turgut Kisinbay and published by International Monetary Fund. This book was released on 2007-11 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 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
Book Synopsis A Companion to Economic Forecasting by : Michael P. Clements
Download or read book A Companion to Economic Forecasting written by Michael P. Clements and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Book Synopsis Economic Forecasting by : Graham Elliott
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 567 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
Book Synopsis The Routledge Handbook of Tourism Research by : Cathy H.C. Hsu
Download or read book The Routledge Handbook of Tourism Research written by Cathy H.C. Hsu and published by Routledge. This book was released on 2012-08-21 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Routledge Handbook of Tourism Research is a compendium of some of the most relevant issues affecting tourism development today. The topics addressed in this book provide some new thinking for those involved in tourism research. This book takes the reader from the beginnings of tourism research to a discussion of emerging forms of tourism and selected examples of tourism development. The underlying theoretical dimensions are reviewed, analysed and discussed from a number of perspectives. This book brings together leading researchers, many of whom are members of the International Academy for the Study of Tourism, to discuss tourism today and its future. The works included in this volume are diverse, in terms of geographical context, research methodology, root discipline, and perspective. This book represents studies based in Europe, North America, Oceania, and Asia. Research methodologies include both quantitative and qualitative. Both macro and micro issues are discussed from the economic, psychological, sociological, political science, marketing, and other perspectives, which reflect the interdisciplinary nature of tourism studies. This book is divided into 6 sections. Section 1 considers the foundations for tourism research. Section 2 discusses the implications for destination management and section 3 discusses planning for tourism development. Section 4 covers human capital for tourism development. And finally, section 5 evaluates emerging forms of tourism and then section 6 offers insights into tourism evolution. It offers the reader a comprehensive synthesis of this field, conveying the latest thinking and research. The text will provide an invaluable resource for all those with an interest in tourism research. This is essential reading for students, researchers & academics of Tourism as well as those of related studies in particular Leisure, Hospitality & Development Studies.
Book Synopsis Forecast Combination and Encompassing by : Francis X. Diebold
Download or read book Forecast Combination and Encompassing written by Francis X. Diebold and published by . This book was released on 1989 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Entropy Application for Forecasting by : Ana Jesus Lopez-Menendez
Download or read book Entropy Application for Forecasting written by Ana Jesus Lopez-Menendez and published by MDPI. This book was released on 2020-12-29 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the potential of entropy and information theory in forecasting, including both theoretical developments and empirical applications. The contents cover a great diversity of topics, such as the aggregation and combination of individual forecasts, the comparison of forecasting performance, and the debate concerning the tradeoff between complexity and accuracy. Analyses of forecasting uncertainty, robustness, and inconsistency are also included, as are proposals for new forecasting approaches. The proposed methods encompass a variety of time series techniques (e.g., ARIMA, VAR, state space models) as well as econometric methods and machine learning algorithms. The empirical contents include both simulated experiments and real-world applications focusing on GDP, M4-Competition series, confidence and industrial trend surveys, and stock exchange composite indices, among others. In summary, this collection provides an engaging insight into entropy applications for forecasting, offering an interesting overview of the current situation and suggesting possibilities for further research in this field.
Book Synopsis Feature Papers of Forecasting by : Sonia Leva
Download or read book Feature Papers of Forecasting written by Sonia Leva and published by MDPI. This book was released on 2021-08-06 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays, forecast applications are receiving unprecedent attention thanks to their capability to improve the decision-making processes by providing useful indications. A large number of forecast approaches related to different forecast horizons and to the specific problem that have to be predicted have been proposed in recent scientific literature, from physical models to data-driven statistic and machine learning approaches. In this Special Issue, the most recent and high-quality researches about forecast are collected. A total of nine papers have been selected to represent a wide range of applications, from weather and environmental predictions to economic and management forecasts. Finally, some applications related to the forecasting of the different phases of COVID in Spain and the photovoltaic power production have been presented.
Book Synopsis Empirical Economic and Financial Research by : Jan Beran
Download or read book Empirical Economic and Financial Research written by Jan Beran and published by Springer. This book was released on 2014-11-07 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research.
Book Synopsis Forecasting Economic Time Series by : Michael Clements
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.
Book Synopsis Palgrave Handbook of Econometrics by : Terence C. Mills
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Book Synopsis Predicting Recessions by : Chikako Baba
Download or read book Predicting Recessions written by Chikako Baba and published by International Monetary Fund. This book was released on 2011-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data shows that forecasts obtained from the algorithm are consistently among the best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are reasonable and consistent with the standard leading indicators followed by many observers of business cycles. The suggested algorithm has several advantages, including wide applicability and objective variable selection.
Book Synopsis Evaluating Econometric Forecasts of Economic and Financial Variables by : M. Clements
Download or read book Evaluating Econometric Forecasts of Economic and Financial Variables written by M. Clements and published by Springer. This book was released on 2005-01-21 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single most likely outcome of an economic and financial variable are of limited value. Forecasts that provide more information on the expected likely ranges of outcomes are more relevant. This book provides a comprehensive treatment of the evaluation of different types of forecasts and draws out the parallels between the different approaches. It describes the methods of evaluating these more complex forecasts which provide a fuller description of the range of possible future outcomes.
Book Synopsis Econometric Modelling by : Sean Holly
Download or read book Econometric Modelling written by Sean Holly and published by Cambridge University Press. This book was released on 2000-09-14 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest techniques used in modelling the economy with policy analysis and applications.
Book Synopsis Evaluating Policy Regimes by : Ralph Bryant
Download or read book Evaluating Policy Regimes written by Ralph Bryant and published by Brookings Institution Press. This book was released on 2010-12-01 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists have long debated the theoretical merits—for an individual nation and for a multi-nation world economy—of alternative approaches to the conduct of economic policy. Yet theory alone cannot resolve the important issues at stake. Only after the robustness of policy regimes has been carefully examined with empirical evidence will policymakers and economists be able to reach more of a consensus. This pathbreaking volume takes major steps forward in meeting the need for a combination of theoretical and empirical evaluations of alternative policy regimes. Bringing together individuals and groups doing pioneering research on macroeconomic interaction, it explores what approach to monetary policy would lead to superior performance by individual national economies and the world economy as a whole. Many parts of the book use the analytical techniques of stochastic simulation, an evaluation procedure increasingly employed at the frontier of empirical economic analysis. The book provides a summary of the hey issues involved in evaluating policy regimes and clarifies the relationships among those issues. The authors examine the stabilization properties of alternative monetary-policy regimes and analyze how well various regime types perform in the face of unexpected shocks to national economies. Among their conclusions, they find that some simplified regimes for monetary policy are markedly less promising than others for achieving the stabilization objectives commonly sought by policymakers. Evaluating Policy Regimes is another major installment in a continuing world wide research project, sponsored by the Brookings Institution, to improve empirical knowledge about the interdependence of national economies.
Book Synopsis Forecasting Non-stationary Economic Time Series by : Michael P. Clements
Download or read book Forecasting Non-stationary Economic Time Series written by Michael P. Clements and published by MIT Press. This book was released on 1999 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.
Book Synopsis Testing Exogeneity by : Neil R. Ericsson
Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
