A01=Allan Timmermann
A01=Graham Elliott
Accuracy and precision
Age Group_Uncategorized
Age Group_Uncategorized
Asymptotic distribution
Author_Allan Timmermann
Author_Graham Elliott
Autocorrelation
automatic-update
Autoregressive conditional heteroskedasticity
Autoregressive model
Autoregressive-moving-average model
Bayesian
Bayesian information criterion
Bayesian statistics
Bias of an estimator
Category1=Non-Fiction
Category=KCH
Category=KCJ
Central limit theorem
COP=United States
Count data
Cross-validation (statistics)
Curse of dimensionality
Delivery_Delivery within 10-20 working days
Dummy variable (statistics)
Empirical Bayes method
Ensemble learning
eq_bestseller
eq_business-finance-law
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equivalence test
Error correction model
Error term
Errors and residuals
Estimation
Estimation theory
Expectation-maximization algorithm
Exponential smoothing
Forecast error
Forecasting
Free parameter
General linear model
Geometric distribution
Gibbs sampling
Goodness of fit
Granger causality
Hyperparameter
Inference
Inverse-gamma distribution
Kalman filter
Language_English
Latent variable
Least absolute deviations
Least squares
Likelihood-ratio test
Logistic regression
Loss function
Maximum a posteriori estimation
Maximum likelihood estimation
Metropolis-Hastings algorithm
Model selection
Non-linear least squares
Nuisance parameter
Ordinary least squares
Overfitting
PA=Available
Parameter
Polynomial regression
Price_€50 to €100
Principal component analysis
Principal component regression
Projection pursuit regression
PS=Active
Rate of convergence
Root-mean-square deviation
Semimartingale
Shrinkage estimator
Sieve estimator
softlaunch
STAR model
Stochastic discount factor
Summary statistics
Tikhonov regularization
Unit root
Unit root test
Variable (mathematics)
Variance reduction
Weighted arithmetic mean
Product details
- ISBN 9780691140131
- Weight: 1332g
- Dimensions: 178 x 254mm
- Publication Date: 05 Apr 2016
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
- Language: English
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Economic forecasting involves choosing simple yet robust models to best approximate highly complex and evolving data-generating processes. This poses unique challenges for researchers in a host of practical forecasting situations, from forecasting budget deficits and assessing financial risk to predicting inflation and stock market returns. Economic Forecasting presents a comprehensive, unified approach to assessing the costs and benefits of different methods currently available to forecasters. This text approaches forecasting problems from the perspective of decision theory and estimation, and demonstrates the profound implications of this approach for how we understand variable selection, estimation, and combination methods for forecasting models, and how we evaluate the resulting forecasts. Both Bayesian and non-Bayesian methods are covered in depth, as are a range of cutting-edge techniques for producing point, interval, and density forecasts. The book features detailed presentations and empirical examples of a range of forecasting methods and shows how to generate forecasts in the presence of large-dimensional sets of predictor variables.
The authors pay special attention to how estimation error, model uncertainty, and model instability affect forecasting performance. * Presents a comprehensive and integrated approach to assessing the strengths and weaknesses of different forecasting methods* Approaches forecasting from a decision theoretic and estimation perspective* Covers Bayesian modeling, including methods for generating density forecasts* Discusses model selection methods as well as forecast combinations* Covers a large range of nonlinear prediction models, including regime switching models, threshold autoregressions, and models with time-varying volatility* Features numerous empirical examples* Examines the latest advances in forecast evaluation* Essential for practitioners and students alike
Graham Elliott is professor of economics at the University of California, San Diego. Allan Timmermann holds the Atkinson/Epstein Chair at the Rady School of Management at the University of California, San Diego, where he is also professor of finance and economics.
