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Author: Michael P. Clements Publisher: MIT Press ISBN: 9780262531894 Category : Business & Economics Languages : en Pages : 398
Book Description
This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.
Author: Michael P. Clements Publisher: MIT Press ISBN: 9780262531894 Category : Business & Economics Languages : en Pages : 398
Book Description
This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.
Author: Halbert White Publisher: Oxford University Press, USA ISBN: 9780198296836 Category : Business & Economics Languages : en Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author: Peter Burley Publisher: Springer Science & Business Media ISBN: 9401582696 Category : Business & Economics Languages : en Pages : 260
Book Description
Over the past two decades we have witnessed something of a revolution in the natural sciences as thermodynamic thinking evolved from an equilibrium, or 'classical', perspective, to a nonequilibrium, or 'self organisational' one. In this transition, thermodynamics has been applied in new ways and in new fields of inquiry. Chemical and biological (evolutionary) processes have been analysed, increasingly, in non equilibrium thermodynamical terms. Economics has, since the late 19th century, relied heavily upon metaphors and analogies derived from the natural sciences - mechanical analogies cast in terms of traditional Newtonian physics and expressed in terms of Cartesian logic have been especially popular. Thermodynamics, on the other hand, has been less popular, despite its early application in economics by Stanley Jevons, the father of modern notions of utility maximisation in neoclassical economics, and despite its promotion in economic contexts by Paul Samuelson, the author of the definitive treatise upon which post war neoclassical economic theory was based, namely, his Foundations of Economic Analysis. The general neglect of thermodynamic thinking in economics was brought to our attention by Nicholas Georgescu-Roegen in the late 1960s, by which time economic theory, evidenced in, for example, the Arrow Debreu general eqUilibrium system, had become so sophisticated that it could not be penetrated by thermodynamical ideas. To Georgescu Roegen, this presented something of a crisis in economics because neglect of thermodynamics led, in his view, to blindness amongst economists to an economy/environment problem in the global economy.
Author: Marc Nerlove Publisher: Academic Press ISBN: 1483218880 Category : Business & Economics Languages : en Pages : 495
Book Description
Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.
Author: Wayne A. Fuller Publisher: John Wiley & Sons ISBN: 0470317337 Category : Mathematics Languages : en Pages : 474
Book Description
The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "The effort of Professor Fuller is commendable . . . [the book] provides a complete treatment of an important and frequently ignored topic. Those who work with measurement error models will find it valuable. It is the fundamental book on the subject, and statisticians will benefit from adding this book to their collection or to university or departmental libraries." -Biometrics "Given the large and diverse literature on measurement error/errors-in-variables problems, Fuller's book is most welcome. Anyone with an interest in the subject should certainly have this book." -Journal of the American Statistical Association "The author is to be commended for providing a complete presentation of a very important topic. Statisticians working with measurement error problems will benefit from adding this book to their collection." -Technometrics " . . . this book is a remarkable achievement and the product of impressive top-grade scholarly work." -Journal of Applied Econometrics Measurement Error Models offers coverage of estimation for situations where the model variables are observed subject to measurement error. Regression models are included with errors in the variables, latent variable models, and factor models. Results from several areas of application are discussed, including recent results for nonlinear models and for models with unequal variances. The estimation of true values for the fixed model, prediction of true values under the random model, model checks, and the analysis of residuals are addressed, and in addition, procedures are illustrated with data drawn from nearly twenty real data sets.
Author: William R. Bell Publisher: CRC Press ISBN: 1439846588 Category : Mathematics Languages : en Pages : 544
Book Description
Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s
Author: Rob J Hyndman Publisher: OTexts ISBN: 0987507117 Category : Business & Economics Languages : en Pages : 380
Book Description
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Author: Marius Ooms Publisher: Springer Science & Business Media ISBN: 3642487920 Category : Business & Economics Languages : en Pages : 397
Book Description
1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, ยง6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.
Author: Michael P. Clements
Author: Michael P. Clements
Author: Halbert White
Author: Peter Burley
Author: Marc Nerlove
Author: Wayne A. Fuller
Author: William R. Bell
Author: Swamy. P. A. V. B.
Author: Rob J Hyndman
Author: Marius Ooms
Author: S. S. Thurman