| Description |
1 online resource (xxvii, 661 pages) : illustrations. |
| Physical Medium |
polychrome |
| Description |
text file |
| Series |
Frontiers of economics and globalization,
1574-8715 ;
v. 3
|
|
Frontiers of economics and globalization ; v. 3.
|
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Forecasting annual UK inflation using an econometric model over 1875-1991 / Michael P. Clements and David F. Hendry -- Forecasting UK inflation: the roles of structural breaks and time disaggregation / Jennifer L. Castle and David F. Hendry -- Forecasting with small macroeconomic VARs in the presence of instabilities / Todd E. Clark and Michael W. McCracken -- Forecasting macroeconomic variables using diffusion indexes in short samples with structural change / Anindya Banerjee, Massimiliano Marcellino and Igor Masten -- Predictive inference under model misspecification / Nii Ayi Armah and Norman R. Swanson -- Forecasting persistent data with possible structural breaks: old school and new school lessons using OECD unemployment rates / Walter Enders and Ruxandra Prodan -- What can we learn from comprehensive data revisions for forecasting inflation? Some US evidence / Pierre L. Siklos -- Estimating and forecasting GARCH models in the presence of structural breaks and regime switches / Eric Hillebrand and Marcelo C. Medeiros -- A Source of long memory in volatility / Namwon Hyung, Ser-Huang Poon and Clive W.J. Granger -- Forecasting stock return volatility in the presence of structural breaks / David E. Rapach, Jack K. Strauss and Mark E. Wohar -- Financial time series and volatility prediction using NoVaS transformations / Dimitris N. Politis and Dimitrios D. Thomakos -- Modeling foreign exchange rates with jumps / John M. Maheu and Thomas H. McCurdy -- Bagging binary and quantile predictors for time series: further issues / Tae-Hwy Lee and Yang Yang -- Forecasting interest rates: an application of the stochastic unit root and stochastic cointegration frameworks / Robert Sollis -- Bayesian model averaging in the presence of structural breaks / Francesco Ravazzolo [and others] -- The economic and statistical value of forecast combinations under regime switching: an application to predictable US returns / Massimo Guidolin and Carrie Fangzhou Na. |
| Summary |
Forecasting in the presence of structural breaks and model uncertainty are active areas of recent research with crucial implications for practical problems in forecasting. Forecasting in the Presence of Structural Breaks and Model Uncertainty presents findings from the recent literature and new findings in a way that will be very useful to academic researchers and practitioners alike. Each chapter includes detailed empirical applications that demonstrate the usefulness (and limitations) of different methods for generating forecasts when structural breaks and model uncertainty are of significant concern. The authors describe in detail their methods and their results, and the data and programs are made available on a web site devoted to the book. The volume addresses forecasting variables from both Macroeconomics and Finance, and considers many different methods of dealing with model instability and model uncertainty when forming forecasts. Authors are leading experts in the topics they survey and extend. This book is supported by a website detailing the data and programs used. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Economic forecasting.
|
|
Economic forecasting. |
|
Macroeconomics -- Econometric models.
|
|
Macroeconomics -- Econometric models. |
| Genre/Form |
Electronic books.
|
| Added Author |
Rapach, David E.
|
|
Wohar, Mark E.
|
| Other Form: |
Print version: Forecasting in the presence of structural breaks and model uncertainty. Bingley : Emerald, 2008 044452942X (OCoLC)234295424 |
| ISBN |
9781849505406 (electronic book) |
|
1849505403 (electronic book) |
|
044452942X |
|
9780444529428 |
|
