Handbook of Economic Forecasting, Volume 1
Graham Elliott, Clive William John Granger, Allan Timmermann
Elsevier, 2006 - Business & Economics - 1012 pages
Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing.
*Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods
*Insights within this volume can be applied to economics, finance and marketing disciplines
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analysis applications approach approximation asymptotic autoregressive average Bayesian bootstrap bootstrap statistic business cycle coefﬁcients cointegration components computed conditional distribution consider correlation covariance matrix deﬁned denote density deterministic Diebold discussed dynamic Economic Forecasting empirical equation evaluation example expectations factor ﬁlter ﬁnancial ﬁnd ﬁrst ﬁxed forecast combination forecast error forecasting models forecasting performance GARCH Gibbs sampling Granger Hendry inﬂation Journal of Business Journal of Econometrics Journal of Forecasting lags leading indicators likelihood likelihood function linear model loss function macroeconomic mean methods misspeciﬁed multivariate nonlinear models observations optimal out-of-sample parameter estimation period posterior predictors prior procedures recursive regression sample seasonal Section series models simulation speciﬁcation stationary stochastic volatility Stock and Watson structural sufﬁcient survey term tests time-varying Timmermann tion trend unit root univariate values variables variance vector vector autoregressive volatility forecasts weights zero