Forecasting Economic Time Series
This book on forecasting economic time series covers in a comprehensive way all relevant topics on forecasting in the economic profession. Its objective is to provide a formal analysis of the models, procedures and measures of economic forecasting with a view to improving forecasting practice. The book focuses on forecasting when the underlying process can be described by a stationary representation. The autors start with a brief overview on the history of economic forecasting as well as with alternative forecasting methods such as guessing, extrapolation and surveys. Contrary to most books on forecasting they do not start with presenting the different techniques but they give first principles by defining the basic concepts of unpredictability and forecastability. In addition, they address the notion of loss functions and optimal predictors. This chapter also deals with the role of causal information in forecasting under a variety of assumptions on the relationships between the processes that generated the observed data. Evaluating forecast accuracy is the main objective of the third chapter. Besides of unbiasedness and an efficient use of information the authors stress the importance of alternative evaluations based on a comparison of individual-model forecasts with outcomes. The next four chapters are concerned with forecasting beginning with univariate processes, Monte Carlo techniques, forecasting in cointegrated systems as well as forecasting in large-scale macroeconometric models. A theory of intercept corrections which is beyond mechanistic forecasts is given in chapter eight. From a user's point of view it might be preferable to combine various forecasts. How to proceed in such cases is extensively discussed in the following chapter. The main topic here relates to forecast encompassing. The goal is a model which encompasses its competitors by forecasting the process better than its rivals. Therefore, a test for forecast encompassing is the same as that for whether there is any benefit to combination. Especially when models do not draw on a common information pool, the case for combination might be more persuasive. The final chapters deal with the problem of parsimony in modeling the underlying process as well as with procedures which allow tests for forecast accuracy. The latter include testing for predictive failure as well as tests of comparative forecast accuracy, using encompassing tests or alternatively variance-based tests. For all important topics addressed in the book the authors provide empirical examples which are discussed at some length. Readers should have a sound background in econometrics if they are not only interested in the applications of the different estimation techniques and tests, but also in their statistical properties. The content of the book is up to date and represents our present knowledge about forecasting in economics. The user of the techniques will be on a save ground when forecasting time series and evaluating alternative forecasts. For this reason the book is highly recommended to all applied econometricians as well as time series analysts.
- Autoregressive prediction with rolling mechanism for time series forecasting with small sample size
- Statistical inference for time-inhomogeneous volatility models.
- Boosting high dimensional predictive regressions with time varying parameters
- Unpredictability in economic analysis, econometric modeling and forecasting
- A stochastic programming model for asset liability management of a Finnish pension company
- Forecasting -- looking back and forward: paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam
- Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
- On the variance of antithetic time series
- Sir Clive W. J. Granger's contributions to forecasting
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Sir Clive W. J. Granger model selection
- Forecasting economic time series using targeted predictors
- Nowcasting and predicting data revisions using panel survey data
- The use of encompassing tests for forecast combinations
- Combining forecasts based on multiple encompassing tests in a macroeconomic core system
- Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data
- The Volatility of Realized Volatility
- Comparing Fits of Latent Trait and Latent Class Models Applied to Sparse Binary Data: An Illustration with Human Resource Management Data
- Topical modelling issues in Solvency II
- Econometric Evaluation of Linear Macro-Economic Models
- Handbook of economic forecasting. Volume 1
- scientific article; zbMATH DE number 4047369 (Why is no real title available?)
- scientific article; zbMATH DE number 48326 (Why is no real title available?)
- scientific article; zbMATH DE number 1239640 (Why is no real title available?)
- scientific article; zbMATH DE number 1163276 (Why is no real title available?)
- The Robustness of Trend Stationarity: An Illustration with the Extended Nelson–Plosser Dataset
- Lag length and mean break in stationary VAR models
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Progress from forecast failure-the Norwegian consumption function
- Forecasting stock returns: does switching between models help?
- Forecasting in dynamic factor models subject to structural instability
- Multi‐step forecasting in the presence of breaks
- scientific article; zbMATH DE number 1865390 (Why is no real title available?)
- Econometric modelling of time series with outlying observations
- Misspecification testing: non-invariance of expectations models of inflation
- Econometric modeling of the balanced potential growth rate of the main Russian macroeconomics variables
- Learning, Structural Instability, and Present Value Calculations
- Forecasting Performance of an Open Economy DSGE Model
- An optimization technique based on a vector autoregression model with state space representation: application to Ukrainian cargo transport data
- Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach
- Predictable uncertainty in economic forecasting
- A framework for economic forecasting
- Multi-step estimators and shrinkage effect in time series models
- Predicting the exchange rate path: the importance of using up-to-date observations in the forecasts
- Investing in influence: how minority interests can prevail in a democracy
- Variable selection, estimation and inference for multi-period forecasting problems
- Reading tea leaves or science? Forecasting for beginners
- Modeling nonlinearities with mixtures-of-experts of time series models
- On the predictability of long-range dependent series
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