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Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single most likely outcome of an economic and financial variable are of limited value. Forecasts that provide more information on the expected likely ranges of outcomes are more relevant. This book provides a comprehensive treatment of the evaluation o
Quantitative methods (economics) --- Economic forecasting --- Econometric models --- Evaluation --- Economic forecasting - Econometric models - Evaluation. --- -330.015195 --- Economics --- Forecasting --- Economic indicators --- -Evaluation --- Economic forecasting - Econometric models - Evaluation
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Economic forecasting --- Prévision économique --- Econometric models. --- Modèles économétriques --- Econometric models --- 330.115 --- AA / International- internationaal --- 331.061 --- 304.5 --- Econometrie --- Economische vooruitzichten. --- Techniek van de statistische-econometrische voorspellingen. Prognose in de econometrie. --- -Economic forecasting --- -330.0112 --- Economics --- Forecasting --- Economic indicators --- -Electronic information resources --- 330.115 Econometrie --- Prévision économique --- Modèles économétriques --- Techniek van de statistische-econometrische voorspellingen. Prognose in de econometrie --- Economische vooruitzichten --- Economic forecasting - Econometric models
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This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new approach. The resulting spreadsheet, which implements the approach, is available upon request from the authors.
Economic forecasting -- Econometric models. --- Interest rates -- Econometric models. --- Monetary policy -- Econometric models. --- Economic forecasting --- Time-series analysis. --- Econometric models. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Inflation --- Investments: Options --- Macroeconomics --- Energy: Demand and Supply --- Prices --- Price Level --- Deflation --- Forecasting and Simulation: Models and Applications --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Economic Forecasting --- Finance --- Oil prices --- Asset prices --- GDP forecasting --- Options --- National income --- Derivative securities --- United States --- Gdp forecasting
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Economic forecasting --- Prévision économique --- Econometric models --- Modèles économétriques --- Finland --- Finlande --- Economic conditions --- Conditions économiques - 1945 --- -Modèles économétriques --- Econometric models. --- -FI / Finland - Finlande --- 331.01 --- 331.030 --- 330.94897 --- 330.05 --- Economics --- Forecasting --- Economic indicators --- Evolutie van de economische cycli. --- Conjunctuurschommelingen: algemeenheden. --- -Econometric models. --- Prévision économique --- Modèles économétriques --- Conditions économiques - 1945 --- -Modèles économétriques --- FI / Finland - Finlande --- Evolutie van de economische cycli --- Conjunctuurschommelingen: algemeenheden --- Finnland --- Suomi --- Fen-lan --- Finli︠a︡ndii︠a︡ --- Souomi --- Finlândia --- Finlandii︠a︡ --- Fen-lan kung ho kuo --- Republic of Finland --- Finnlando --- Suomen tasavalta --- Republiken Finland --- フィンランド --- Finrando --- פינלנד --- Finland (Grand Duchy) --- Finland (Grand duchy) --- Economic forecasting - Econometric models. --- Finland - Economic conditions - 1945- - Econometric models.
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This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
Quantitative methods (economics) --- Economic forecasting --- Econometrics --- Microeconomics --- Prévision économique --- Econométrie --- Micro-économie --- Econometric models --- Modèles économétriques --- -Microeconomics --- AA / International- internationaal --- 305.970 --- 331.061 --- 330.3 --- 304.5 --- 304.0 --- -Econometrics --- 330.0112 --- 330.015195 --- Price theory --- Economics --- Economics, Mathematical --- Statistics --- Forecasting --- Economic indicators --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Economische vooruitzichten. --- Methode in staathuishoudkunde. Statische, dynamische economie. Modellen. Experimental economics. --- Techniek van de statistische-econometrische voorspellingen. Prognose in de econometrie. --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Econometrics. --- Microeconomics. --- Econometric models. --- Prévision économique --- Econométrie --- Micro-économie --- Modèles économétriques --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Techniek van de statistische-econometrische voorspellingen. Prognose in de econometrie --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Methode in staathuishoudkunde. Statische, dynamische economie. Modellen. Experimental economics --- Economische vooruitzichten --- Business, Economy and Management --- Economic forecasting - Econometric models
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Quantitative methods (economics) --- Capital movements --- Economic forecasting --- International trade --- International finance --- Economic policy --- Econometric models --- 330.115.001.57 --- -Economic forecasting --- -Economic policy --- -International finance --- -International trade --- -previsions economiques --- modeles economiques --- AA* / International - Internationaal --- 330.3 --- 338.90015195 --- 330.05 --- External trade --- Foreign commerce --- Foreign trade --- Global commerce --- Global trade --- Trade, International --- World trade --- Commerce --- International economic relations --- Non-traded goods --- International monetary system --- International money --- Finance --- Economic nationalism --- Economic planning --- National planning --- State planning --- Economics --- Planning --- National security --- Social policy --- Forecasting --- Economic indicators --- Capital flight --- Capital flows --- Capital inflow --- Capital outflow --- Flight of capital --- Flow of capital --- Movements of capital --- Balance of payments --- Foreign exchange --- Econometrische modellen. Simulatiemodellen --- economische vooruitzichten --- economische modellen --- Methode in staathuishoudkunde. Statische, dynamische economie. Modellen. Experimental economics. --- Working papers --- Econometric models. --- 330.115.001.57 Econometrische modellen. Simulatiemodellen --- previsions economiques --- Methode in staathuishoudkunde. Statische, dynamische economie. Modellen. Experimental economics --- Capital movements - Econometric models --- Economic forecasting - Econometric models --- International trade - Econometric models --- International finance - Econometric models --- Economic policy - Econometric models --- Modele mark ii
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