عنوان

Macroeconomic forecasting in the era of big data :

3030311503

3030311511

303031152X

9783030311506

9783030311513

9783030311520

303031149X

9783030311490

Macroeconomic forecasting in the era of big data :

[Book]

theory and practice /

Peter Fuleky, editor.

Cham :

Springer,

2020.

1 online resource

Advanced Studies in Theoretical and Applied Econometrics,

v. 52

1570-5811 ;

Includes bibliographical references.

Introduction: Sources and Types of Big Data for Macroeconomic Forecasting -- Capturing Dynamic Relationships: Dynamic Factor Models -- Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs -- Large Bayesian Vector Autoregressions -- Volatility Forecasting in a Data Rich Environment -- Neural Networks -- Seeking Parsimony: Penalized Time Series Regression -- Principal Component and Static Factor Analysis -- Subspace Methods -- Variable Selection and Feature Screening -- Dealing with Model Uncertainty: Frequentist Averaging -- Bayesian Model Averaging -- Bootstrap Aggregating and Random Forest -- Boosting -- Density Forecasting -- Forecast Evaluation -- Further Issues: Unit Roots and Cointegration -- Turning Points and Classification -- Robust Methods for High-dimensional Regression and Covariance Matrix Estimation -- Frequency Domain -- Hierarchical Forecasting.

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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.

Springer Nature

com.springer.onix.9783030311506

9783030311490

Big data.

Economic forecasting.

Big data.

Economic forecasting.

BUS021000

KCH

KCH

Fuleky, Peter.

20200823094209.0

pn

[Book]

Y