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Periodic Time Series Models

Philip Hans Franses and Richard Paap

Published in print:
2004
Published Online:
August 2004
ISBN:
9780199242023
eISBN:
9780191601286
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/019924202X.001.0001
Subject:
Economics and Finance, Econometrics

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing ... More


Conclusions

Paul Whiteley, Patrick Seyd, and Antony Billinghurst

in Third Force Politics: Liberal Democrats at the Grassroots

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199242825
eISBN:
9780191604140
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199242828.003.0008
Subject:
Political Science, UK Politics

This chapter examines the political prospects of the Liberal Democrat Party. The big question is whether or not it can replace its rivals as the second, or even the first, party of British electoral ... More


Probability event forecasting with the UK model

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0011
Subject:
Economics and Finance, Econometrics

This chapter is concerned with forecasting and prediction based on the UK model. It elaborates on the notion of probability forecasting, which provides a useful means of conveying the uncertainties ... More


Probability forecasting: Concepts and analysis

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0007
Subject:
Economics and Finance, Econometrics

This chapter provides an introduction to the interpretation and estimation of probability forecasts, which is considered to be a particularly useful method for presenting forecasts and ... More


Comparative Performance of U.S. Econometric Models

Lawrence R. Klein (ed.)

Published in print:
1991
Published Online:
October 2011
ISBN:
9780195057720
eISBN:
9780199854967
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195057720.001.0001
Subject:
Economics and Finance, Econometrics

One of the most important, and visible, things economists do is to forecast what will happen in the economy in the future. Each year, a number of different groups in the United States use their own ... More


The Failures of Forecasting

John Kay

in The Business of Economics

Published in print:
1996
Published Online:
November 2003
ISBN:
9780198292227
eISBN:
9780191596520
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292228.003.0002
Subject:
Economics and Finance, Microeconomics

Using data on previous forecasts, this widely influential 1995 FT article criticizes the reliability and usefulness of economic forecasts. Contrary to the widespread belief that economists always ... More


Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.001.0001
Subject:
Economics and Finance, Econometrics

This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national ... More


Chapter Chapter The Role of 401(k) Accumulations in Providing Future Retirement Income

Sarah Holden and Jack VanDerhei

in Restructuring Retirement Risks

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199204656
eISBN:
9780191603822
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199204659.003.0003
Subject:
Economics and Finance, Financial Economics

As defined contribution plans are increasingly being offered as the primary employer-sponsored pension, it is of interest to ask whether these accumulations are likely to yield sufficient retirement ... More


Forecasting the Long-range Consequences of Manual and Tool Use Actions: Neurophysiological, Behavioral, and Computational Considerations

Scott H. Frey

in Motor Control: Theories, Experiments, and Applications

Published in print:
2010
Published Online:
January 2011
ISBN:
9780195395273
eISBN:
9780199863518
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195395273.003.0013
Subject:
Neuroscience, Sensory and Motor Systems

The ability to forecast the likely consequences of our actions accurately is an important component of adaptive behavior that has been approached from several distinct theoretical perspectives. ... More


Heterogeneous Gain Learning and Long Swings in Asset Prices

Blake LeBaron

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter focuses on heterogeneous gain learning and long swings in asset prices. Many asset prices deviate from their fundamental values, yielding potential long-run predictability. Asset price ... More


Short‐Term Analysis of Macroeconomic Time Series

Agustín Maravall

in Economics Beyond the Millennium

Published in print:
1999
Published Online:
November 2003
ISBN:
9780198292111
eISBN:
9780191596537
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292112.003.0015
Subject:
Economics and Finance, Macro- and Monetary Economics, Microeconomics

Agustin Maravall provides an account of the statistical methodology used in analysing the present situation and predicting the short‐term future. The analysis of the present consists of removing ... More


Looking Forward: Prediction and Uncertainty in Modern America

Jamie L. Pietruska

Published in print:
2017
Published Online:
May 2018
ISBN:
9780226475004
eISBN:
9780226509150
Item type:
book
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226509150.001.0001
Subject:
History, American History: 19th Century

This book is a history of forecasting in the United States from the 1860s to the 1920s that examines how methods of prediction and ideas about predictability changed as Americans reckoned with new ... More


Facts, Factors, and Questions

Francis X. Diebold and Glenn D. Rudebusch

in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.003.0001
Subject:
Economics and Finance, History of Economic Thought

This chapter introduces some important conceptual, descriptive, and theoretical considerations regarding nominal government bond yield curves. Conceptually, just what is it that are we trying to ... More


Dynamic Nelson-Siegel

Francis X. Diebold and Glenn D. Rudebusch

in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.003.0002
Subject:
Economics and Finance, History of Economic Thought

This chapter starts with static in the cross section, then proceeds quickly to dynamic Nelson–Siegel modeling, with all its nuances and opportunities. Among other things, it emphasizes the model's ... More


Forecasting from nonlinear models

Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199587148
eISBN:
9780191595387
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199587148.003.0014
Subject:
Economics and Finance, Econometrics

A major purpose of nonlinear models is forecasting. This often requires numerical techniques, and a few alternatives are considered. There are also cases in which analytical forecasts are available, ... More


Opening Models of Asset Prices and Risk to Nonroutine Change

Roman Frydman and Michael D. Goldberg

in Rethinking Expectations: The Way Forward for Macroeconomics

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691155234
eISBN:
9781400846450
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691155234.003.0007
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter considers an alternative approach to economic analysis, Imperfect Knowledge Economics (IKE), and introduces a model of asset prices and risk that has explicit mathematical ... More


New Methods for Using Monthly Data to Improve Forecast Accuracy

E. Philip Howrey

in Comparative Performance of U.S. Econometric Models

Published in print:
1991
Published Online:
October 2011
ISBN:
9780195057720
eISBN:
9780199854967
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195057720.003.0008
Subject:
Economics and Finance, Econometrics

Econometric forecasters continually seek ways to increase forecast accuracy. As new data are released, the residuals of forecasting models are examined for evidence of structural change and equations ... More


Generalized Forecast Errors, a Change of Measure, and Forecast Optimality *

Andrew J. Patton and Allan Timmermann

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0010
Subject:
Economics and Finance, Econometrics

This chapter discusses properties of optimal forecasts under general loss functions, and proposes an interesting change of measure under which minimum mean square error forecast properties can be ... More


Managing Risk: The Trials and Tribulations of Hazardous Weather Forecasting

Phaedra Daipha

in Masters of Uncertainty: Weather Forecasters and the Quest for Ground Truth

Published in print:
2015
Published Online:
May 2016
ISBN:
9780226298542
eISBN:
9780226298719
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226298719.003.0005
Subject:
Sociology, Science, Technology and Environment

The chapter begins by outlining NWS efforts to articulate and streamline the management of meteorological risk into a government meteorology. To properly showcase the challenges of actually managing ... More


Anticipating the Future: Temporal Regimes of Meteorological Decision Making

Phaedra Daipha

in Masters of Uncertainty: Weather Forecasters and the Quest for Ground Truth

Published in print:
2015
Published Online:
May 2016
ISBN:
9780226298542
eISBN:
9780226298719
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226298719.003.0006
Subject:
Sociology, Science, Technology and Environment

Turning to the temporal dimensions of meteorological decision-making, this chapter identifies two principles underlying the logic of weather forecasting practice: risk and scale. The former rests on ... More


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