Applied economic forecasting using time series methods /
"Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable. Because forecast precision an...
Guardado en:
| Autor principal: | |
|---|---|
| Otros Autores: | |
| Formato: | Libro |
| Lenguaje: | Inglés |
| Publicado: |
New York :
Oxford University Press,
c2018.
|
| Materias: | |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
| LEADER | 03766nam a2200313Ia 4500 | ||
|---|---|---|---|
| 001 | 99774429304151 | ||
| 005 | 20200205150159.0 | ||
| 008 | 200205s2018 nyua b 001 0 eng d | ||
| 020 | |a 9780190622015 |q (hardcover) | ||
| 020 | |a 0190622016 |q (hardcover) | ||
| 020 | |a 9780190622039 |q (epub) | ||
| 020 | |a 0190622032 |q (epub) | ||
| 035 | |a (OCoLC)1139336516 | ||
| 035 | |a (OCoLC)on1139336516 | ||
| 040 | |a U@S |b spa |c U@S | ||
| 049 | |a U@SA | ||
| 050 | 4 | |a HB3730 |b .G59 2018 | |
| 100 | 1 | |a Ghysels, Eric, |d 1956- | |
| 245 | 1 | 0 | |a Applied economic forecasting using time series methods / |c Eric Ghysels, Massimiliano Marcellino. |
| 260 | |a New York : |b Oxford University Press, |c c2018. | ||
| 300 | |a xviii, 597 p. : |b il. ; |c 27 cm. | ||
| 504 | |a Incluye referencias bibliográficas (p. 559-586) e índice. | ||
| 505 | 0 | |a Part I. Forecasting with the Linear Regression Model: 1. The Baseline Linear Regression Model -- 2. Model Mis-Specification -- 3. The Dynamic Linear Regression Model -- 4. Forecast Evaluation and Combination -- Part II. Forecasting with Time Series Models: 5. Univariate Time Series Models -- 6. VAR Models -- 7. Error Correction Models -- 8. Bayesian VAR Models -- Part III. TAR, Markov Switching and State Space Models -- 9. TAR and STAR Models -- 10. Markov Switching Models -- 11. State Space Models and the Kalman Filter -- Part IV. Mixed Frequency, Large Datasets and Volatility: 12. Models for Mixed Frequency Data -- 13. Models for Large Datasets -- 14. Forecasting Volatility. | |
| 520 | |a "Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable. Because forecast precision and reliability can be enhanced by the use of proper econometric models and methods, this innovative book provides an overview of both theory and applications. Undergraduate and graduate students learning basic and advanced forecasting techniques will be able to build from strong foundations, and researchers in public and private institutions will have access to the most recent tools and insights. Readers will gain from the frequent examples that enhance understanding of how to apply techniques, first by using stylized settings and then by real data applications-focusing on macroeconomic and financial topics. This is first and foremost a book aimed at applying time series methods to solve real-world forecasting problems. Applied Economic Forecasting using Time Series Methods starts with a brief review of basic regression analysis with a focus on specific regression topics relevant for forecasting, such as model specification errors, dynamic models and their predictive properties as well as forecast evaluation and combination. Several chapters cover univariate time series models, vector autoregressive models, cointegration and error correction models, and Bayesian methods for estimating vector autoregressive models. A collection of special topics chapters study Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models and the Kalman filter, mixed frequency data models, nowcasting, forecasting using large datasets and, finally, volatility models. There are plenty of practical applications in the book and both EViews and R code are available online." --Descripción del editor. | ||
| 650 | 0 | |a Economic forecasting |x Mathematical models. | |
| 650 | 0 | |a Economic forecasting |x Statistical methods. | |
| 650 | 7 | |a Pronósticos económicos |x Modelos matemáticos. |2 UDESA | |
| 650 | 7 | |a Pronósticos económicos |x Métodos estadísticos. |2 UDESA | |
| 700 | 1 | |a Marcellino, Massimiliano. | |