Estimating Turning Points Using Large Data Sets
Estimating Turning Points Using Large Data Sets

Author: James H. Stock

Publisher:

Published: 2010

Total Pages: 46

ISBN-13:

DOWNLOAD EBOOK

Abstract: Dating business cycles entails ascertaining economy-wide turning points. Broadly speaking, there are two approaches in the literature. The first approach, which dates to Burns and Mitchell (1946), is to identify turning points individually in a large number of series, then to look for a common date that could be called an aggregate turning point. The second approach, which has been the focus of more recent academic and applied work, is to look for turning points in a few, or just one, aggregate. This paper examines these two approaches to the identification of turning points. We provide a nonparametric definition of a turning point (an estimand) based on a population of time series. This leads to estimators of turning points, sampling distributions, and standard errors for turning points based on a sample of series. We consider both simple random sampling and stratified sampling. The empirical part of the analysis is based on a data set of 270 disaggregated monthly real economic time series for the U.S., 1959-2010

Macroeconomic Forecasting in the Era of Big Data
Macroeconomic Forecasting in the Era of Big Data

Author: Peter Fuleky

Publisher: Springer Nature

Published: 2019-11-28

Total Pages: 716

ISBN-13: 3030311503

DOWNLOAD EBOOK

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.

Big Data for Twenty-First-Century Economic Statistics
Big Data for Twenty-First-Century Economic Statistics

Author: Katharine G. Abraham

Publisher: University of Chicago Press

Published: 2022-03-11

Total Pages: 502

ISBN-13: 022680139X

DOWNLOAD EBOOK

The papers in this volume analyze the deployment of Big Data to solve both existing and novel challenges in economic measurement. The existing infrastructure for the production of key economic statistics relies heavily on data collected through sample surveys and periodic censuses, together with administrative records generated in connection with tax administration. The increasing difficulty of obtaining survey and census responses threatens the viability of existing data collection approaches. The growing availability of new sources of Big Data—such as scanner data on purchases, credit card transaction records, payroll information, and prices of various goods scraped from the websites of online sellers—has changed the data landscape. These new sources of data hold the promise of allowing the statistical agencies to produce more accurate, more disaggregated, and more timely economic data to meet the needs of policymakers and other data users. This volume documents progress made toward that goal and the challenges to be overcome to realize the full potential of Big Data in the production of economic statistics. It describes the deployment of Big Data to solve both existing and novel challenges in economic measurement, and it will be of interest to statistical agency staff, academic researchers, and serious users of economic statistics.

Dynamic Factor Models
Dynamic Factor Models

Author: Siem Jan Koopman

Publisher: Emerald Group Publishing

Published: 2016-01-08

Total Pages: 685

ISBN-13: 1785603523

DOWNLOAD EBOOK

This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Regime-Switching Factor Models and Nowcasting with Big Data
Regime-Switching Factor Models and Nowcasting with Big Data

Author: Omer Faruk Akbal

Publisher: International Monetary Fund

Published: 2024-09-06

Total Pages: 28

ISBN-13:

DOWNLOAD EBOOK

This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides satisfactory performance relative to other estimation methods and delivers a good trade-off between accuracy and speed, which makes it especially useful for large dimensional data. Unlike traditional numerical maximization approaches, this methodology benefits from closed-form solutions for parameter estimation, enhancing its practicality for real-time applications and historical data exercises with focus on frequent updates. In a nowcasting application to vintage US data, I study the information content and relative performance of regime-switching model after each data releases in a fifteen year period, which was only feasible due to the time efficiency of the proposed estimation methodology. While existing literature has already acknowledged the performance improvement of nowcasting models under regime-switching, this paper shows that the superior nowcasting performance observed particularly when key economic indicators are released. In a backcasting exercise, I show that the model can closely match the recession starting and ending dates of the NBER despite having less information than actual committee meetings, where the fit between actual dates and model estimates becomes more apparent with the additional available information and recession end dates are fully covered with a lag of three to six months. Given that the EM algorithm proposed in this paper is suitable for various regime-switching configurations, this paper provides economists and policymakers with a valuable tool for conducting comprehensive analyses, ranging from point estimates to information decomposition and persistence of recessions in larger datasets.

The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Author: Don Harding

Publisher: Princeton University Press

Published: 2016-07-26

Total Pages: 232

ISBN-13: 1400880939

DOWNLOAD EBOOK

The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction. This book presents the econometric methods necessary for the successful modeling of recurrent events, providing valuable insights for policymakers, empirical researchers, and theorists. It explains why it is inherently difficult to forecast the onset of a recession in a way that provides useful guidance for active stabilization policy, with the consequence that policymakers should place more emphasis on making the economy robust to recessions. The book offers a range of econometric tools and techniques that researchers can use to measure recurrent events, summarize their properties, and evaluate how effectively economic and statistical models capture them. These methods also offer insights for developing models that are consistent with observed financial and real cycles. This book is an essential resource for students, academics, and researchers at central banks and institutions such as the International Monetary Fund.

Applied Data Analytic Techniques For Turning Points Research
Applied Data Analytic Techniques For Turning Points Research

Author: Patricia Cohen

Publisher: Routledge

Published: 2012-10-12

Total Pages: 254

ISBN-13: 113691076X

DOWNLOAD EBOOK

This innovative volume demonstrates the use of a range of statistical approaches that examine "turning points" (a change in direction, magnitude, or meaning) in real data. Analytic techniques are illustrated with real longitudinal data from a variety of fields. As such the book will appeal to a variety of researchers including: Developmental researchers interested in identifying factors precipitating turning points at various life stages. Medical or substance abuse researchers looking for turning points in disease or recovery. Social researchers interested in estimating the effects of life experiences on subsequent behavioral changes. Interpersonal behavior researchers looking to identify turning points in relationships. Brain researchers needing to discriminate the onset of an experimentally produced process in a participant. The book opens with the goals and theoretical considerations in defining turning points. An overview of the methods presented in subsequent chapters is then provided. Chapter goals include discriminating "local" from long-term effects, identifying variables altering the connection between trajectories at different life stages, locating non-normative turning points, coping with practical distributional problems in trajectory analyses, and changes in the meaning and connections between variables in the transition to adulthood. From an applied perspective, the book explores such topics as antisocial/aggressive trajectories at different life stages, the impact of imprisonment on criminal behavior, family contact trajectories in the transition to adulthood, sustained effects of substance abuse, alternative models of bereavement, and identifying brain changes associated with the onset of a new brain process. Ideal for advanced students and researchers interested in identifying significant change in data in a variety of fields including psychology, medicine, education, political science, criminology, and sociology.

Trends in Applied Knowledge-Based Systems and Data Science
Trends in Applied Knowledge-Based Systems and Data Science

Author: Hamido Fujita

Publisher: Springer

Published: 2016-07-13

Total Pages: 1019

ISBN-13: 3319420070

DOWNLOAD EBOOK

This book constitutes the refereed conference proceedings of the 29th International Conference on Industrial, Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2016, held in Morioka, Japan, in August 2-4, 2016. The 80 revised full papers presented were carefully reviewed and selected from 168 submissions. They are organized in topical sections: data science; knowledge base systems; natural language processing and sentiment analysis; semantic Web and social networks; computer vision; medical diagnosis system and bio-informatics; applied neural networks; innovations in intelligent systems and applications; decision support systems; adaptive control; soft computing and multi-agent systems; evolutionary algorithms and heuristic search; system integration for real-life applications.

Statistics
Statistics

Author: Türkmen Göksel

Publisher: BoD – Books on Demand

Published: 2018-11-07

Total Pages: 166

ISBN-13: 1789843952

DOWNLOAD EBOOK

Since data grows faster than ever, the role of statistics becomes more and more crucial nowadays, and there is no doubt that statistics will be even more critical in the future. The application of statistics is extensive, and in our daily lives there is almost no human activity where the use of statistics is not needed. In this limited volume, we try to cover as many as different and multidisciplinary fields in statistics as possible and aim to present recent developments and applications of statistical analysis. Therefore, this book is organized into three sections: "The Role of Statistics on Quantification," "Applications of Statistics on Economics and Development," and "Applications of Statistics on Various Topics."

Re-engineering Manufacturing for Sustainability
Re-engineering Manufacturing for Sustainability

Author: Andrew Y. C. Nee

Publisher: Springer Science & Business Media

Published: 2013-04-08

Total Pages: 719

ISBN-13: 9814451487

DOWNLOAD EBOOK

This edited volume presents the proceedings of the 20th CIRP LCE Conference, which cover various areas in life cycle engineering such as life cycle design, end-of-life management, manufacturing processes, manufacturing systems, methods and tools for sustainability, social sustainability, supply chain management, remanufacturing, etc.