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Fuleky

Macroeconomic Forecasting in the Era of Big Data

Theory and Practice

Medium: Buch
ISBN: 978-3-030-31152-0
Verlag: Springer International Publishing
Erscheinungstermin: 19.12.2020
Lieferfrist: bis zu 10 Tage

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.


Produkteigenschaften


  • Artikelnummer: 9783030311520
  • Medium: Buch
  • ISBN: 978-3-030-31152-0
  • Verlag: Springer International Publishing
  • Erscheinungstermin: 19.12.2020
  • Sprache(n): Englisch
  • Auflage: 1. Auflage 2020
  • Serie: Advanced Studies in Theoretical and Applied Econometrics
  • Produktform: Kartoniert
  • Gewicht: 1095 g
  • Seiten: 719
  • Format (B x H x T): 155 x 235 x 40 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Herausgeber

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.