Essays On Forecasting In Economics

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An Essay On The Theory Of Economic Prediction

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Author : Lawrence Robert Klein
language : en
Publisher: Chicago : Markham Publishing Company
Release Date : 1970

An Essay On The Theory Of Economic Prediction written by Lawrence Robert Klein and has been published by Chicago : Markham Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Business & Economics categories.

Essays On Forecasting In Economics

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Author : Peter F. Christoffersen
language : en
Publisher:
Release Date : 1996

Essays On Forecasting In Economics written by Peter F. Christoffersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

Essays In Economic Management

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Author : Alec Cairncross
language : en
Publisher: Routledge
Release Date : 2013-11-05

Essays In Economic Management written by Alec Cairncross and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-05 with Business & Economics categories.

The papers in this volume cover the following areas: * Government and Industry * The Managed Economy * Monetary Policy * Fiscal Policy * Economic Forecasting and Economic Planning * Economists in Government

Essays On Macroeconomic Forecasting And The Business Cycle

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Author : Teodora A. Stoica
language : en
Publisher:
Release Date : 2012

Essays On Macroeconomic Forecasting And The Business Cycle written by Teodora A. Stoica and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Economics categories.

This dissertation consists of two essays on forecasting real GDP growth and predicting recessions in the United States. In the first essay, we create a new indicator of economic activity based on a business cycle pattern, able to better forecast real output changes. The second essay utilizes the same indicator with the purpose of improving recession forecast. The accurate prediction of economic activity is valuable for the business community, policymakers, and the general public because better forecasts of GDP growth have the potential to improve economic conditions. In the first essay, we create a new indicator based on the correlation of residential and non-residential marginal product of capital (MPK) estimates and use it to improve forecasts of output growth. The correlation of residential and non-residential MPK is highly negative during recessions, while in expansions the same correlation is positive. For six out of seven expansions, the correlation of the two series becomes zero between one and three quarters before the subsequent recession. This cyclical behavior allows the use of a measure based on the correlation of the MPKs to create a better forecast of GDP growth. To this end, we compare the out-of-sample predictability of the model including the indicator against a benchmark model, and strongly reject the hypothesis of no out-of-sample predictability from the newly created indicator to GDP growth. We also provide evidence in favor of highly improved in-sample fit when the new indicator is included, and conclude that it Granger-causes GDP growth. The improvement in GDP growth forecasts is greater when an oil price measure is included in the models. The second paper employs a probit model for the US to describe the probability of an economic recession during the next five quarters, using the new indicator based on the correlation of residential and non-residential marginal product of capital. We find that in every one to three quarters prior to a recession, the correlation of the two series is not significantly different from zero, with the exception of the Great Recession. We show that models including the new measure improve both in-sample fit and out-of-sample performance when compared to nested baseline alternatives, giving accurate out-of-sample forecasts for the 1990-1991 recession. We also show that forecasts including the new indicator outperform those reported in the survey of professional forecasters, suggesting that other variables would not undo the contribution of the new indicator.

Essays In Econometrics

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Author : Clive W. J. Granger
language : en
Publisher: Cambridge University Press
Release Date : 2001-07-23

Essays In Econometrics written by Clive W. J. Granger and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-07-23 with Business & Economics categories.

These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.

Two Essays On Econometric Forecasting With An Econometric Model

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Author : A. C. Fenwick
language : en
Publisher:
Release Date : 1974

Two Essays On Econometric Forecasting With An Econometric Model written by A. C. Fenwick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974 with Econometrics categories.

Essays In Economic Forecasting

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Author : Florens Odendahl
language : en
Publisher:
Release Date : 2018

Essays In Economic Forecasting written by Florens Odendahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

This thesis consists of three chapters on forecasting techniques in economics. In chapter 1, I use copulas to estimate multivariate density forecasts based on univariate densities from survey data. Survey-based predictions are often competitive to time series models in their forecasting performance but have a univariate focus and my estimation strategy exploits the information in the surveys' marginal densities. I subsequently demonstrate the importance of the multivariate aspect for forecasters. In chapter 2, we propose novel tests for forecast rationality, which are robust under the presence of Markov switching. Existing tests focus on constant out-of-sample performances or use non-parametric techniques; consequently, they may lack power against the alternative of discrete switches. Investigating the Blue Chip Fi-nancial Forecasts, we find evidence against forecast unbiasedness during periods of monetary easing. Chapter 3 provides an empirical investigation of the real-time forecasting performance of quantile regressions for predicting diferent vintages of real US GDP growth. My results indicate that quantile regressions are competitive to current benchmark models and that the insample estimation strategy matters for the performance concerning difrent data vintages.

Four Essays On Forecasting Evaluation And Econometric Estimation

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Author : Yongil Jeon
language : en
Publisher:
Release Date : 1999

Four Essays On Forecasting Evaluation And Econometric Estimation written by Yongil Jeon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Econometric models categories.

Essays On Forecasting Financial And Economic Time Series

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Author : Mohaimen Mansur
language : en
Publisher:
Release Date : 2014

Essays On Forecasting Financial And Economic Time Series written by Mohaimen Mansur and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Essays In Nonlinear Time Series Econometrics

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Author : Niels Haldrup
language : en
Publisher: OUP Oxford
Release Date : 2014-06-26

Essays In Nonlinear Time Series Econometrics written by Niels Haldrup and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-26 with Business & Economics categories.

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.