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Macroeconomic Forecasting in the Era of Big Data Peter Fuleky

Macroeconomic Forecasting in the Era of Big Data By Peter Fuleky

Macroeconomic Forecasting in the Era of Big Data by Peter Fuleky

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Summary

This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.

Macroeconomic Forecasting in the Era of Big Data Summary

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

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.

About Peter Fuleky

Peter Fuleky is an Associate Professor of Economics with a joint appointment at the University of Hawaii Economic Research Organization (UHERO), and the Departmentof Economics at the University of Hawaii at Manoa. His research focuses on econometrics, time series analysis, and forecasting. He is a co-author of UHERO's quarterlyforecast reports on Hawaii's economy. He obtained his Ph.D. degree in Economics at the University of Washington, USA.

Table of Contents

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.

Additional information

NPB9783030311490
9783030311490
303031149X
Macroeconomic Forecasting in the Era of Big Data: Theory and Practice by Peter Fuleky
Peter Fuleky
Advanced Studies in Theoretical and Applied Econometrics
New
Hardback
Springer Nature Switzerland AG
2019-12-12
719
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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