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Advances in Economic Forecasting

Matthew L. Higgins, Editor

Publication Year: 2011

This book's contributors assess the performance of economic forecasting methods, argue that data can be better exploited through model and forecast combination, and advocate for models that are adaptive and perform well in the presence of nonlinearity and structural change. The contributors are: Michael D. Bradley, Dean Croshure, Dennis W. Jansen, Kajal Lahiri, Tae-Hwy Lee, David E. Rapach, and H.O. Stekler.

Published by: W.E. Upjohn Institute

Title page

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Copyright page

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pp. v

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1 - Advances in Economic Forecasting

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pp. 1-6

The six chapters that follow this introduction are based on lectures the authors gave at Western Michigan University as part of the 2009– 2010 Werner Sichel Lecture Seminar Series, organized under the same title as the present volume. The lectures were given over an academic year during a time when the U.S. economy was ...

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2 - Real-Time Forecasting

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pp. 7-24

This chapter will discuss real-time forecasting in a macroeconomic policy context. I will begin by talking about the Survey of Professional Forecasters (SPF), a survey of private-sector forecasters. Next, I will discuss research on real-time data analysis and its importance in forecasting. Finally, I will discuss real-time forecasting in the 1990s. ...

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3 - Limits to Economic Forecasting

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pp. 25-50

Economic forecasting is not a very reputable profession. There is skepticism not only by laymen but by most academic economists regarding the true capability of macroeconomic forecasters. The conventional wisdom is that economic forecasters are mere charlatans. ...

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4 - Forecasting Regional and Industry-Level Variables: Challenges and Strategies

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pp. 51-64

Forecasting regional and industry-level (RIL) variables is an important task for a wide variety of economic agents. Policymakers at all levels of government utilize such forecasts, including local and state governments when planning budgets and the Federal Reserve when formulating U.S. monetary policy ...

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5 - Forecasting Asset Prices Using Nonlinear Models

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pp. 65-104

Over the past 25 years, a substantial body of research has produced evidence indicating the presence of nonlinearities in the behavior of both financial and real variables. Nonlinearity can arise for a variety of reasons. First, frictions and transaction costs can exceed gains from arbitrage when market deviations are small. ...

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6 - Perspectives on Evaluating Macroeconomic Forecasts

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pp. 105-148

Over the past 50 or so years, I have been concerned with the quality of economic forecasts and have written both about the procedures for evaluating these predictions and the results that were obtained from these evaluations. In this chapter I provide some perspectives on the issues involved in judging the quality of these forecasts. ...

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7 - Combining Forecasts with Many Predictors

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pp. 149-172

In practice it is quite common that one forecast model performs well in certain periods while other models perform better in other periods. It is difficult to find a forecast model that outperforms all competing models. To improve forecasts over individual models, combined forecasts have been suggested (Bates and Granger 1969). ...

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pp. 173-174

Michael D. Bradley is a professor of economics at George Washington University. His primary areas of research are the conduct and effects of monetary policy, the economics of postal and delivery services, and the application of nonlinear models to issues in macroeconomics and finance. He has published over 50 papers ...


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pp. 175-184

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About the Institute

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pp. 185

The W.E. Upjohn Institute for Employment Research is a nonprofit research organization devoted to finding and promoting solutions to employmentrelated problems at the national, state, and local levels. It is an activity of the W.E. Upjohn Unemployment Trustee Corporation, which was established in 1932 to administer a fund ...

E-ISBN-13: 9780880993937
E-ISBN-10: 0880993936
Print-ISBN-13: 9780880993838
Print-ISBN-10: 0880993839

Page Count: 185
Publication Year: 2011

Edition: First