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Macroeconomic Forecasting in the Era of Big Data
Theory and Practice
von Peter Fuleky
Verlag: Springer International Publishing
Reihe: Advanced Studies in Theoretical and Applied Econometrics Nr. 52
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ISBN: 978-3-030-31150-6
Erschienen am 28.11.2019
Sprache: Englisch
Umfang: 719 Seiten

Preis: 255,73 €

Biografische Anmerkung
Inhaltsverzeichnis

Peter Fuleky is an Associate Professor of Economics with a joint appointment at the University of Hawaii Economic Research Organization (UHERO), and the Department of 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 quarterly forecast reports on Hawaii's economy. He obtained his Ph.D. degree in Economics at the University of Washington, USA.



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.


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