Forecasting with Real-time Macroeconomic Data: the Ragged-edge Problem and Revisions PDF Download

Author: Kees Evert Bouwman
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Publisher: ScholarlyEditions
ISBN: 1464990735
Category : Business & Economics
Languages : en
Pages : 1468

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Book Description
Economics—Advances in Research and Application: 2012 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Economics. The editors have built Economics—Advances in Research and Application: 2012 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Economics in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Economics—Advances in Research and Application: 2012 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Author: Haim Y. Bleikh
Publisher: CRC Press
ISBN: 1317010183
Category : Business & Economics
Languages : en
Pages : 149

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In Time Series Analysis and Adjustment the authors explain how the last four decades have brought dramatic changes in the way researchers analyze economic and financial data on behalf of economic and financial institutions and provide statistics to whomsoever requires them. Such analysis has long involved what is known as econometrics, but time series analysis is a different approach driven more by data than economic theory and focused on modelling. An understanding of time series and the application and understanding of related time series adjustment procedures is essential in areas such as risk management, business cycle analysis, and forecasting. Dealing with economic data involves grappling with things like varying numbers of working and trading days in different months and movable national holidays. Special attention has to be given to such things. However, the main problem in time series analysis is randomness. In real-life, data patterns are usually unclear, and the challenge is to uncover hidden patterns in the data and then to generate accurate forecasts. The case studies in this book demonstrate that time series adjustment methods can be efficaciously applied and utilized, for both analysis and forecasting, but they must be used in the context of reasoned statistical and economic judgment. The authors believe this is the first published study to really deal with this issue of context.

Author: Elia Kacapyr
Publisher: M.E. Sharpe
ISBN: 9781563247651
Category : Business & Economics
Languages : en
Pages : 224

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Book Description
Widening the focus from the usual business forecasts, explains the techniques for predicting macroeconomic factors such as economic growth, interest rates, and employment. Reviews the concepts of business cycles and long waves, then describes techniques using economic indicators, time series, econometric models, and consensus. Also considers the evaluation of forecasts. Readers with a solid background in mathematics and statistics should learn now to make forecasts; others should get an intuitive understanding that will improve their interpretation of forecasts by others. Paper edition (unseen), $29.95. Annotation copyright by Book News, Inc., Portland, OR

Author: Dan Braha
Publisher: Springer Nature
ISBN: 3030673189
Category : Mathematics
Languages : en
Pages : 446

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The International Conference on Complex Systems (ICCS) offers a unique interdisciplinary venue for researchers from the physical and biological sciences, social sciences, psychology and cognitive science, engineering, medicine, human systems, and global systems. This proceedings volume gathers selected papers from the conference. The New England Complex Systems Institute (NECSI) has been instrumental in the development of complex systems science and its applications. NECSI pursues research, education, knowledge dissemination, and community development efforts around the world to promote the study of complex systems and its application for the benefit of society. NECSI hosts the International Conference on Complex Systems and publishes the NECSI Book.

Author: Bryan W. Roberts
Publisher: DIANE Publishing
ISBN: 1437930468
Category : Business & Economics
Languages : en
Pages : 16

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Evaluates the macroeconomic impacts of the 9/11 attack on U.S. real GDP growth and the unemployment rate by examining how forecasts of these variables were revised after the attack occurred. By this approach, the immediate impact of the 9/11 attack was to reduce real GDP growth in 2001 by 0.5%, and to increase the unemployment rate by 0.11% (reduce employment by 598,000 jobs). Forecasted real GDP growth in 2002 fell dramatically immediately after the 9/11 attack but then recovered fully. The forecasted unemployment rate in 2002 rose sharply immediately after the 9/11 attack, but unlike real GDP growth, it never subsequently returned to a pre-9/11 level. Illustrations. This is a print on demand edition of a hard to find publication.

Author: Jonas Dovern
Publisher: International Monetary Fund
ISBN: 1484305345
Category : Business & Economics
Languages : en
Pages : 24

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Book Description
We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line “noisy” information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.

Author: Eric Ghysels
Publisher: Oxford University Press
ISBN: 0190622024
Category : Business & Economics
Languages : en
Pages : 608

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Book Description
Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable. Because forecast precision and reliability can be enhanced by the use of proper econometric models and methods, this innovative book provides an overview of both theory and applications. Undergraduate and graduate students learning basic and advanced forecasting techniques will be able to build from strong foundations, and researchers in public and private institutions will have access to the most recent tools and insights. Readers will gain from the frequent examples that enhance understanding of how to apply techniques, first by using stylized settings and then by real data applications--focusing on macroeconomic and financial topics. This is first and foremost a book aimed at applying time series methods to solve real-world forecasting problems. Applied Economic Forecasting using Time Series Methods starts with a brief review of basic regression analysis with a focus on specific regression topics relevant for forecasting, such as model specification errors, dynamic models and their predictive properties as well as forecast evaluation and combination. Several chapters cover univariate time series models, vector autoregressive models, cointegration and error correction models, and Bayesian methods for estimating vector autoregressive models. A collection of special topics chapters study Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models and the Kalman filter, mixed frequency data models, nowcasting, forecasting using large datasets and, finally, volatility models. There are plenty of practical applications in the book and both EViews and R code are available online at authors' website.

Author: Roberto S. Mariano
Publisher: World Scientific
ISBN: 9812778950
Category : Business & Economics
Languages : en
Pages : 200

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Book Description
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.

Author: Metodij Hadzi-Vaskov
Publisher: International Monetary Fund
ISBN: 1513573667
Category : Business & Economics
Languages : en
Pages : 57

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This paper investigates the performance of the IMF WEO growth forecast revisions across different horizons and country groups. We find that: (i) growth revisions in horizons closer to the actual are generally larger, more volatile, and more negative; (ii) on average, growth revisions are in the right direction, becoming progressively more responsive to the forecast error gap as horizons get closer to the actual year; (iii) growth revisions in systemic economies are relevant for growth revisions in all country groups; (iv) WEO and Consensus Forecast growth revisions are highly correlated; (v) fall-to-spring WEO revisions are more correlated with Consensus Forecasts revisions compared to spring-to-fall revisions; and (vi) across vintages, revisions for a given time horizon are not autocorrelated; within vintages, revisions tend to be positively correlated, suggesting perception of persistent short-term shocks.