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BL
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| Record Number
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873240
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| Main Entry
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Ghysels, Eric,1956-
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| Title & Author
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Applied economic forecasting using time series methods /\ Eric Ghysels and Massimiliano Marcellino.
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| Publication Statement
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New York, NY :: Oxford University Press,, [2018]
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, ©2018
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| Page. NO
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1 online resource
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| ISBN
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0190622024
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: 0190879513
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: 9780190622022
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: 9780190879518
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0190622016
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9780190622015
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9780190622039
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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Cover; Half title; Applied Economic Forecasting using Time Series Methods; Copyright page; Contents; Preface; Part I Forecasting with the Linear Regression Model; 1 The Baseline Linear Regression Model; 1.1 Introduction; 1.2 The basic specification; 1.3 Parameter estimation; 1.4 Measures of model fit; 1.5 Constructing point forecasts; 1.6 Interval and density forecasts; 1.7 Parameter testing; 1.8 Variable selection; 1.9 Automated variable selection procedures; 1.9.1 Forward selection (FWD); 1.9.2 Least angle regressions (LARS); 1.9.3 LASSO and elastic net estimator (NET).
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1.10 Multicollinearity1.11 Example using simulated data; 1.11.1 Data simulation procedure; 1.12 Empirical examples; 1.12.1 Forecasting Euro area GDP growth; 1.12.2 Forecasting US GDP growth; 1.13 A hint of dynamics; 1.13.1 Revisiting GDP forecasting; 1.13.2 Forecasting default risk; 1.14 Concluding remarks; 2 Model Mis-Specification; 2.1 Introduction; 2.2 Heteroskedastic and correlated errors; 2.2.1 The Generalized Least Squares (GLS) estimator and the feasible GLS estimator; 2.3 HAC estimators; 2.4 Some tests for homoskedasticity and no correlation; 2.5 Parameter instability.
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2.5.1 The effects of parameter changes2.5.2 Simple tests for parameter changes; 2.5.3 Recursive methods; 2.5.4 Dummy variables; 2.5.5 Multiple breaks; 2.6 Measurement error and real-time data; 2.7 Instrumental variables; 2.8 Examples using simulated data; 2.9 Empirical examples; 2.9.1 Forecasting Euro area GDP growth; 2.9.2 Forecasting US GDP growth; 2.9.3 Default risk; 2.10 Concluding remarks; 3 The Dynamic Linear Regression Model; 3.1 Introduction; 3.2 Types of dynamic linear regression models; 3.3 Estimation and testing; 3.4 Model specification; 3.5 Forecasting with dynamic models.
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3.6 Examples with simulated data3.7 Empirical examples; 3.7.1 Forecasting Euro area GDP growth; 3.7.2 Forecasting US GDP growth; 3.7.3 Default risk; 3.8 Concluding remarks; 4 Forecast Evaluation and Combination; 4.1 Introduction; 4.2 Unbiasedness and efficiency; 4.3 Evaluation of fixed event forecasts; 4.4 Tests of predictive accuracy; 4.5 Forecast comparison tests; 4.6 The combination of forecasts; 4.7 Forecast encompassing; 4.8 Evaluation and combination of density forecasts; 4.8.1 Evaluation; 4.8.2 Comparison; 4.8.3 Combination; 4.9 Examples using simulated data; 4.10 Empirical examples.
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4.10.1 Forecasting Euro area GDP growth4.10.2 Forecasting US GDP growth; 4.10.3 Default risk; 4.11 Concluding remarks; Part II Forecasting with Time Series Models; 5 Univariate Time Series Models; 5.1 Introduction; 5.2 Representation; 5.2.1 Autoregressive processes; 5.2.2 Moving average processes; 5.2.3 ARMA processes; 5.2.4 Integrated processes; 5.2.5 ARIMA processes; 5.3 Model specification; 5.3.1 AC/PAC based specification; 5.3.2 Testing based specification; 5.3.3 Testing for ARCH; 5.3.4 Specification with information criteria; 5.4 Estimation; 5.5 Unit root tests; 5.6 Diagnostic checking.
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| Abstract
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Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
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| Subject
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Economic forecasting-- Mathematical models.
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| Subject
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Economic forecasting-- Statistical methods.
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| Subject
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BUSINESS ECONOMICS-- Economics-- General.
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BUSINESS ECONOMICS-- Reference.
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| Subject
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Economic forecasting-- Mathematical models.
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| Subject
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Economic forecasting-- Statistical methods.
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| Dewey Classification
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330.01/51955
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| LC Classification
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HB3730.G459 2018eb
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| Added Entry
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Marcellino, Massimiliano
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