Eric Ghysels (Edward M. Bernstein Distinguished Professor of Econom, Massimiliano Marcellino (Professor of Ec Professor of Econometrics

Applied Economic Forecasting using Time Series Methods

• Gebundenes Buch

Produktbeschreibung

Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.

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Produktdetails

• Verlag: Oxford University Press Inc
• Seitenzahl: 616
• Erscheinungstermin: 12. April 2018
• Englisch
• Abmessung: 261mm x 182mm x 48mm
• Gewicht: 1448g
• ISBN-13: 9780190622015
• ISBN-10: 0190622016
• Artikelnr.: 50907035

Autorenporträt

Eric Ghysels is the Edward M. Bernstein Distinguished Professor of Economics at UNC Chapel Hill, Professor of Finance at the Kenan-Flagler Business School and CEPR Fellow. Massimiliano Marcellino is Professor of Econometrics at Bocconi University, fellow of CEPR and IGIER.

Inhaltsangabe

Preface
PART I: Forecasting with the Linear Regression Model
Chapter 1 -The Baseline Linear Regression Model
Chapter 2 - Model Mis-Specification
Chapter 3 - The Dynamic Linear Regression Model
Chapter 4 - Forecast Evaluation and Combination
PART II: Forecasting with Time Series Models
Chapter 5 - Univariate Time Series Models
Chapter 6 - VAR Models
Chapter 7 - Error Correction Models
Chapter 8 - Bayesian VAR Models
PART III: TAR, Markov Switching and State Space Models
Chapter 9 - TAR and STAR Models
Chapter 10 - Markov Switching Models
Chapter 11 - State Space Models and the Kalman Filter
PART IV: Mixed Frequency, Large Datasets and Volatility
Chapter 12 - Models for Mixed Frequency Data
Chapter 13 - Models for Large Datasets
Chapter 14 - Forecasting Volatility