Applied Economic Forecasting using Time Series Methods

Oxford University Press Inc

Master economic forecasting with "Applied Economic Forecasting using Time Series Methods." This comprehensive guide, authored by Eric Ghysels and Massimiliano Marcellino, provides a robust overview of both theory and applications essential for decision-making in public and private sectors. Learn to build strong foundations and utilize the most recent tools and insights through practical examples, focusing on macroeconomic and financial topics. The book begins with a review of basic regression analysis, including model specification errors, dynamic models, and forecast evaluation. It delves into univariate time series models, vector autoregressive models, cointegration, error correction models, and Bayesian methods. Special topics covered include Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models, the Kalman filter, mixed frequency data models, nowcasting, forecasting with large datasets, and volatility models. Key Features: * Focuses on applying time series methods to real-world forecasting problems. * Includes frequent examples with stylized settings and real data applications. * Offers EViews and R code online for all applications. * Provides theoretical foundations for practical tool usage. This book is ideal for undergraduate and graduate students, as well as researchers seeking to enhance their forecasting precision and reliability. Summary: ISBN Applied Economic Forecasting using Time Series Methods. Hardback, 616 pages, English. Written by Eric Ghysels, Massimiliano Marcellino. Publisher: Oxford University Press. Release Date: 12/04/2018.