Peter Fuleky
Springer International Publishing
e druk, 2019
9783030311490
Macroeconomic Forecasting in the Era of Big Data
Theory and Practice
Specificaties
Gebonden, blz.
|
Engels
Springer International Publishing |
e druk, 2019
ISBN13: 9783030311490
Rubricering
Onderdeel van serie
Advanced Studies in Theoretical and Applied Econometrics
Verwachte levertijd ongeveer 8 werkdagen
Samenvatting
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Specificaties
ISBN13:9783030311490
Taal:Engels
Bindwijze:gebonden
Uitgever:Springer International Publishing
Inhoudsopgave
Introduction: Sources and Types of Big Data for Macroeconomic Forecasting.- Capturing Dynamic Relationships: Dynamic Factor Models.- Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs.- Large Bayesian Vector Autoregressions.- Volatility Forecasting in a Data Rich Environment.- Neural Networks.- Seeking Parsimony: Penalized Time Series Regression.- Principal Component and Static Factor Analysis.- Subspace Methods.- Variable Selection and Feature Screening.- Dealing with Model Uncertainty: Frequentist Averaging.- Bayesian Model Averaging.- Bootstrap Aggregating and Random Forest.- Boosting.- Density Forecasting.- Forecast Evaluation.- Further Issues: Unit Roots and Cointegration.- Turning Points and Classification.- Robust Methods for High-dimensional Regression and Covariance Matrix Estimation.- Frequency Domain.- Hierarchical Forecasting.