Macroeconomic Forecasting in the Era of Big Data, 1st ed. 2020 Theory and Practice Advanced Studies in Theoretical and Applied Econometrics Series, Vol. 52
Coordonnateur : Fuleky Peter
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.
Date de parution : 12-2020
Ouvrage de 719 p.
15.5x23.5 cm
Date de parution : 12-2019
Ouvrage de 719 p.
15.5x23.5 cm
Thèmes de Macroeconomic Forecasting in the Era of Big Data :
Mots-clés :
Big Data; Macroeconomic forecasting; Dimension reduction; Shrinkage; Model forecast combination; Dynamic factor models; Vector autoregressions; Mixed frequency data sampling regressions; Estimation of common factors; Penalized regression; Variable selection; Feature screening; Subspace methods; Averaging; Aggregation; Unit roots; Cointegration; Forecasts; Time varying parameters