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Author: David E. Rapach Publisher: Emerald Group Publishing ISBN: 1849505403 Category : Business & Economics Languages : en Pages : 700
Book Description
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Author: David E. Rapach Publisher: Emerald Group Publishing ISBN: 1849505403 Category : Business & Economics Languages : en Pages : 700
Book Description
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Author: Peter Hackl Publisher: Springer Science & Business Media ISBN: 3662068249 Category : Business & Economics Languages : en Pages : 377
Book Description
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Author: Peter Hackl Publisher: Springer Science & Business Media ISBN: 366202571X Category : Business & Economics Languages : en Pages : 495
Book Description
In 1984, the University of Bonn (FRG) and the International Institute for Applied System Analysis (IIASA) in Laxenburg (Austria), created a joint research group to analyze the relationship between economic growth and structural change. The research team was to examine the commodity composition as well as the size and direction of commodity and credit flows among countries and regions. Krelle (1988) reports on the results of this "Bonn-IIASA" research project. At the same time, an informal IIASA Working Group was initiated to deal with prob lems of the statistical analysis of economic data in the context of structural change: What tools do we have to identify nonconstancy of model parameters? What type of models are particularly applicable to nonconstant structure? How is forecasting affected by the presence of nonconstant structure? What problems should be anticipated in applying these tools and models? Some 50 experts, mainly statisticians or econometricians from about 15 countries, came together in Lodz, Poland (May 1985); Berlin, GDR (June 1986); and Sulejov, Poland (September 1986) to present and discuss their findings. This volume contains a selected set of those conference contributions as well as several specially invited chapters.
Author: Peter Hackl Publisher: Springer ISBN: 9783540538394 Category : Business & Economics Languages : en Pages : 385
Book Description
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Author: Liudas Giraitis Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially weighted moving averages, known to be robust to historical structural change, are found to be also useful in the presence of ongoing structural change in the forecast period. A crucial issue is how to select the degree of downweighting, usually defined by an arbitrary tuning parameter. We make this choice data dependent by minimizing forecast mean square error, and provide a detailed theoretical analysis of our proposal. Monte Carlo results illustrate the methods. We examine their performance on 191 UK and US macro series. Forecasts using data-based tuning of the data discount rate are shown to perform well.
Author: David E. Rapach Publisher: Emerald Group Publishing ISBN: 044452942X Category : Business & Economics Languages : en Pages : 691
Book Description
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Author: Matthew L. Higgins Publisher: W.E. Upjohn Institute ISBN: 0880993936 Category : Business & Economics Languages : en Pages : 182
Book Description
The book's contributors assess the performance of economic forecasting methods, argue that data can be better exploited through model and forecast combination, and advocate for models that are adaptive and perform well in the presence of nonlinearity and structural change.
Author: David E. Rapach
Author: David E. Rapach
Author: Peter Hackl
Author: Peter Hackl
Author: Peter Hackl
Author: Liudas Giraitis
Author: David E. Rapach
Author: Barry K. Goodwin
Author: Mohammad Nurul Azam
Author: Matthew L. Higgins
Author: