Macroeconomic Forecasting in the Era of Big Data : Theory and Practice / / edited by Peter Fuleky

• Pubblicazione: Cham : , : Springer International Publishing : , : Imprint : Springer, , 2020
• Edizione: 1st ed. 2020.
• Descrizione fisica: 1 online resource (716 pages)
• Disciplina: 330.0112
• Soggetto topico: Econometrics; Macroeconomics; Big data; Statistics ; Macroeconomics/Monetary Economics//Financial Economics; Big Data; Statistics for Business, Management, Economics, Finance, Insurance; Big Data/Analytics
• Persona (resp. second.): FulekyPeter
• Nota di contenuto: 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: Macroeconomic Forecasting in the Era of Big Data
• ISBN: 3-030-31150-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910366626303321
• Lo trovi qui: Univ. Federico II
• Serie: Advanced Studies in Theoretical and Applied Econometrics, . 1570-5811 ; ; 52