Forecasting Economic Time Series
Forecasting Economic Time Series

Author: Michael Clements

Publisher: Cambridge University Press

Published: 1998-10-08

Total Pages: 402

ISBN-13: 9780521634809

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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.

Handbook of Economic Forecasting
Handbook of Economic Forecasting

Author: G. Elliott

Publisher: Elsevier

Published: 2006-05-30

Total Pages: 1071

ISBN-13: 0080460674

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Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing. *Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods *Insights within this volume can be applied to economics, finance and marketing disciplines

The Use of Financial Spreads As Indicator Variables
The Use of Financial Spreads As Indicator Variables

Author: E. P. Davis

Publisher: International Monetary Fund

Published: 1994-03-01

Total Pages: 28

ISBN-13: 1451844980

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There has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregressive models of the UK and German economies. It is found that they do have significant information, even after allowing for the effects of other influences upon macro-economic activity.

Business Cycles
Business Cycles

Author: Francis X. Diebold

Publisher: Princeton University Press

Published: 2020-10-06

Total Pages: 438

ISBN-13: 0691219583

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This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings. Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions. They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.

Dynamic Econometrics
Dynamic Econometrics

Author: David F. Hendry

Publisher:

Published: 1995

Total Pages: 918

ISBN-13: 9780198283164

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The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. 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.

Economic Forecasting
Economic Forecasting

Author: Terence C. Mills

Publisher: Edward Elgar Publishing

Published: 1999

Total Pages: 562

ISBN-13:

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This is a collection of over 50 articles on economic forecasting. Topics cover: macroeconomic forecasting and policy-making; time series forecasting; the econometrics of forecasting; forecast evaluation; forecasting with leading indicators; and forecasting using surveys.