Investigating Uncertainty in Macroeconomic Forecasts by Stochastic Simulation
Author: Debby Lanser
Publisher:
Published: 2008
Total Pages: 74
ISBN-13:
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Macroeconomic Modelling
Author: S.G. Hall
Publisher: Elsevier
Published: 2014-06-28
Total Pages: 432
ISBN-13: 1483295478
DOWNLOAD EBOOKThis book arose out of research carried out by the authors in the period 1983-1987 whilst at the National Institute of Economic and Social Research. A number of things combined to impart the basic thrust of the research: partly the developments in formulating and estimating rational expectations models, and partly actual developments in the UK economy itself.An application of recent developments in dynamic modelling to a complete macroeconometric model of the UK is presented. Rational expectations modelling, co-integration and disequilibrium modelling are covered. The book also develops computational procedures for obtaining efficient solutions to large-scale models, and illustrates model solutions assuming rational expectations and stochastic simulations. Finally, sections on the analysis of models using optimal control methods illustrate applications of a large-scale econometric model. This section also discusses policy applications, including the derivation of time-consistent policies in the presence of rational expectations, giving quantified illustrations.
On the Optimality of Expert-adjusted Forecasts
Author: Philip Hans Franses
Publisher:
Published: 2007
Total Pages: 32
ISBN-13:
DOWNLOAD EBOOKBusiness Cycles, Indicators, and Forecasting
Author: James H. Stock
Publisher: University of Chicago Press
Published: 2008-04-15
Total Pages: 350
ISBN-13: 0226774740
DOWNLOAD EBOOKThe inability of forecasters to predict accurately the 1990-1991 recession emphasizes the need for better ways for charting the course of the economy. In this volume, leading economists examine forecasting techniques developed over the past ten years, compare their performance to traditional econometric models, and discuss new methods for forecasting and time series analysis.
Introduction to Bayesian Econometrics
Author: Edward Greenberg
Publisher: Cambridge University Press
Published: 2013
Total Pages: 271
ISBN-13: 1107015316
DOWNLOAD EBOOKThis textbook explains the basic ideas of subjective probability and shows how subjective probabilities must obey the usual rules of probability to ensure coherency. It defines the likelihood function, prior distributions and posterior distributions. It explains how posterior distributions are the basis for inference and explores their basic properties. Various methods of specifying prior distributions are considered, with special emphasis on subject-matter considerations and exchange ability. The regression model is examined to show how analytical methods may fail in the derivation of marginal posterior distributions. The remainder of the book is concerned with applications of the theory to important models that are used in economics, political science, biostatistics and other applied fields. New to the second edition is a chapter on semiparametric regression and new sections on the ordinal probit, item response, factor analysis, ARCH-GARCH and stochastic volatility models. The new edition also emphasizes the R programming language.
Understanding Economic Forecasts
Author: David F. Hendry
Publisher: MIT Press
Published: 2003
Total Pages: 236
ISBN-13: 9780262582421
DOWNLOAD EBOOKHow to interpret and evaluate economic forecasts and the uncertainties inherent in them.
Uncertainty and Unemployment
Author: Sangyup Choi
Publisher: International Monetary Fund
Published: 2015-02-23
Total Pages: 26
ISBN-13: 1498356303
DOWNLOAD EBOOKWe study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and compare their effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model. We find that aggregate uncertainty leads to an immediate increase in unemployment, with the impact dissipating within a year. In contrast, sectoral uncertainty has a long-lived impact on unemployment, with the peak impact occurring after two years. The results are consistent with a view that the impact of aggregate uncertainty occurs through a “wait-and-see” mechanism while increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors.
Why Do Macro Wage Elasticities Diverge?
Author: C. Folmer
Publisher:
Published: 2009
Total Pages: 58
ISBN-13:
DOWNLOAD EBOOKMacroeconomic Forecasting in the Era of Big Data
Author: Peter Fuleky
Publisher: Springer Nature
Published: 2019-11-28
Total Pages: 716
ISBN-13: 3030311503
DOWNLOAD EBOOKThis 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.
Uncertain Futures
Author: Jens Beckert
Publisher: Oxford University Press
Published: 2018-07-11
Total Pages: 421
ISBN-13: 0192552759
DOWNLOAD EBOOKUncertain Futures considers how economic actors visualize the future and decide how to act in conditions of radical uncertainty. It starts from the premise that dynamic capitalist economies are characterized by relentless innovation and novelty and hence exhibit an indeterminacy that cannot be reduced to measurable risk. The organizing question then becomes how economic actors form expectations and make decisions despite the uncertainty they face. This edited volume lays the foundations for a new model of economic reasoning by showing how, in conditions of uncertainty, economic actors combine calculation with imaginaries and narratives to form fictional expectations that coordinate action and provide the confidence to act. It draws on groundbreaking research in economic sociology, economics, anthropology, and psychology to present theoretically grounded empirical case studies. These demonstrate how grand narratives, central bank forward guidance, economic forecasts, finance models, business plans, visions of technological futures, and new era stories influence behaviour and become instruments of power in markets and societies. The market impact of shared calculative devices, social narratives, and contingent imaginaries underlines the rationale for a new form of narrative economics.
