Applied Economic Forecasting using Time Series Methods (Hardcover)

Hardcover. Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable.Because forecast precision and reliability can be enhanced by the use of proper econometric models and methods, this innovative book provides an overview of both theory andapplications. Undergraduate and graduate students learning basic and advanced forecasting techniques will be able to build from strong foundations, and researchers in public and private institutions will haveaccess to the most recent tools and insights. Readers will gain from the frequent examples that enhance understanding of how to apply techniques, first by using stylized settings and then by real data applications--focusing on macroeconomic and financial topics.This is first and foremost a book aimed at applying time series methods to solve real-world forecasting problems. Applied Economic Forecasting using Time Series Methods starts with a brief review of basicregression analysis with a focus on specific regression topics relevant for forecasting, such as model specification errors, dynamic models and their predictive properties as well as forecast evaluation andcombination. Several chapters cover univariate time series models, vector autoregressive models, cointegration and error correction models, and Bayesian methods for estimating vector autoregressive models. A collection of special topics chapters study Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models and the Kalman filter, mixed frequency data models, nowcasting, forecasting using large datasets and, finally, volatilitymodels. There are plenty of practical applications in the book and both EViews and R code are available online at authors' website. Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.…