Two Essays On Econometric Forecasting With An Econometric Model
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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.
Econometric Essays On Nonlinear Methods And Diffusion Index Forecasting
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Author : Hyun Hak Kim
language : en
Publisher:
Release Date : 2012
Econometric Essays On Nonlinear Methods And Diffusion Index Forecasting written by Hyun Hak Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Macroeconomics categories.
This dissertation comprises two essays in macroeconomic forecasting. The first essay empirically examines approaches to combining factor models and robust estimation, and presents the results of a "horse-race" in which mean-square-forecast-error (MSFE) "best" models are selected, in the context of a variety of forecast horizons, estimation window schemes and sample periods. For the majority of the target variables that we forecast, it is found that various of these shrinkage methods, when combined with simple factors formed using principal component analysis (e.g. component-wise boosting), perform better than all other models. It is also found that model averaging methods perform surprisingly poorly, given our prior that they would "win" in most cases. The second essays outlines and discusses a number of interesting new forecasting methods that have recently been developed in the statistics and econometrics literature. It focuses in particular on the examination of a variety of factor modeling methods, including principal components, independent component analysis (ICA) and sparse principal component analysis (SPCA). Further, it outlines a number of approaches for creating hybrid forecasting models that use these factor modeling approaches in conjunction with various type of shrinkage methods. The results show that pure factor modeling approaches alone are not enough to lead to our overall finding that simple linear econometric models as well as models based on various forecast combination strategies are dominated by more complicated (factor/shrinkage) type models.
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.
Economics In Theory And Practice An Eclectic Approach
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Author : L.R. Klein
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Economics In Theory And Practice An Eclectic Approach written by L.R. Klein and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Lawrence Klein, University of Pennsylvania Jaime Marquez, Federal Reserve BoarrI* All examination of the economics literature over the last twenty years reveals a marked tendency towards polarisation. On the one hand, there has been a propensity to develop theoretical models which have little connection with either empirical verification or problems requiring immediate attention. On the other iland, empirical analyses are generally typified by testing for its own sake, with limited examination of the implications of the results. As a result, the number of papers confronting theory with facts towards the solution of economic problems has been on the decline for years. To fill this growing gap in the literature, we have invited a number of authors to write papers using both theoretical and empirical techniques to address current issues of interest to the profession at large: the US trade deficit and the global implications of policies that attempt to reduce it, the international ramifications of the debt crisis, the international oil market and its implications for the US oil industry, and the development of new econometric techniques. In addressing these issues, each author has approached the subject matter from an eclectic standpoint - that is, avoiding strict adherence to a given doctrine.
Contributions To Econometric Theory And Application
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Author : R.A.L. Carter
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Contributions To Econometric Theory And Application written by R.A.L. Carter and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
The purpose of this volume is to honour a pioneer in the field of econometrics, A. L. Nagar, on the occasion of his sixtieth birthday. Fourteen econometricians from six countries on four continents have contributed to this project. One of us was his teacher, some of us were his students, many of us were his colleagues, all of us are his friends. Our volume opens with a paper by L. R. Klein which discusses the meaning and role of exogenous variables in struc tural and vector-autoregressive econometric models. Several examples from recent macroeconomic history are presented and the notion of Granger-causality is discussed. This is followed by two papers dealing with an issue of considerable relevance to developing countries, such as India; the measurement of the inequality in the distribution of income. The paper by C. T. West and H. Theil deals with the problem of measuring inequality of all components of total income vvithin a region, rather than just labour income. It applies its results to the regions of the United States. The second paper in this group, by N. Kakwani, derives the large-sample distributions of several popular inequality measures, thus providing a method for drawing large-sample inferences about the differences in inequality between regions. The techniques are applied to the regions of Cote d'Ivoire. The next group of papers is devoted to econometric theory in the context of the dynamic, simultaneous, linear equations model. The first, by P. J.
Essays On Econometric Forecasting
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Author : Qing Tian
language : en
Publisher:
Release Date : 2010
Essays On Econometric Forecasting written by Qing Tian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This thesis contributes towards the improvement of model-based econometric forecast performance under realistic forecast environments, such as when information about in-sample structural breaks is unknown or when the forecast users' loss function is not based on squared-errors.
Recent Advances And Future Directions In Causality Prediction And Specification Analysis
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Author : Xiaohong Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-01
Recent Advances And Future Directions In Causality Prediction And Specification Analysis written by Xiaohong Chen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-01 with Business & Economics categories.
This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Essays In Econometrics
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Author : Clive W. J. Granger
language : en
Publisher: Cambridge University Press
Release Date : 2001-08-06
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 2001-08-06 with Business & Economics categories.
This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
Essays On Structural Breaks And Forecasting In Econometric Models
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Author : Yaein Baek
language : en
Publisher:
Release Date : 2019
Essays On Structural Breaks And Forecasting In Econometric Models written by Yaein Baek and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Instability of parametric models is a common problem in many fields of economics. In econometrics, these changes in the underlying data generating process are referred to as structural breaks. Although there is an extensive literature on estimation and statistical tests of structural breaks, existing methods fail to adequately capture a break. This dissertation consists of three papers on developing econometric methods for structural breaks and forecasting. The first chapter develops a new method in estimating the location of a structural break in a linear model and provide theoretical results and empirical applications of the estimator. In finite sample the conventional least-squares estimates a break occurred at either ends of the sample with high probability, regardless of the true break point. I suggest an estimator of the break point that resolves this pile up issue and thus, provide a more accurate estimate of the break. The second chapter constructs a statistical test to test existence of a structural break when the direction of the parameter shift is known. In practice it is likely that a researcher is interested in testing for a structural break in a particular direction because the direction is known, such as policy change or historical data. We incorporate this information in constructing three tests that have higher power when direction is correctly specified. The last chapter proposes a multi-period forecasting method that is robust to model misspecification. When we are interested in obtaining long horizon ahead forecasts, the direct forecast method is more favorable than the iterated forecast because it is more robust to misspecification. However, direct forecast estimates tend to have jagged shapes across horizons. I use a mechanism analogous to ridge regression on the direct forecast model to maintain robustness while smoothing out erratic estimates.
Identification And Inference For Econometric Models
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Author : Donald W. K. Andrews
language : en
Publisher: Cambridge University Press
Release Date : 2005-07-04
Identification And Inference For Econometric Models written by Donald W. K. Andrews 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 2005-07-04 with Business & Economics categories.
This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.