On the forecasting of economic time series: structural versus data-based approaches
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Göttingen
Sierke
2009
|
| Edition: | 1. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 95 S. graph. Darst. |
| ISBN: | 9783868441529 |
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MARC
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| 245 | 1 | 0 | |a On the forecasting of economic time series |b structural versus data-based approaches |c von Mu-Chun Wang |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a Göttingen |b Sierke |c 2009 | |
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| 650 | 7 | |a Stochastischer Prozess |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Ungleichgewichtstheorie |2 stw | |
| 650 | 4 | |a Wirtschaft - Zeitreihenanalyse - Prognoseverfahren - Vergleich | |
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Record in the Search Index
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| adam_text | TABLE OF CONTENTS LIST OF ORIGINAL WORKING PAPERS II PREFACE 1 1
COMPARING THE DSGE MODEL WITH THE FACTOR MODEL: AN OUT-OF-SAMPLE
FORECASTING EXPERIMENT 5 1.1 INTRODUETION 5 1.2 FORECASTING MODELS 7
1.2.1 FACTOR MODEL 8 1.2.2 NEW KEYNESIAN DSGE MODEL 9 1.3 DATA AND
ESTIMATION 11 1.3.1 DATA AND EXPERIMENTAL DESIGN 12 1.3.2 DATA TREATMENT
AND ESTIMATION 13 1.4 FORECASTING RESULTS 16 1.4.1 ESTIMATION RESULTS OF
THE DSGE MODEL . . 16 1.4.2 INFORMATIVENESS OF FORECASTS 17 1.4.3
VARIOUS FACTOR AND VAR SPECIFICATIONS . . 20 1.4.4 TESTING EQUAL
PREDICTIVE ABILITY 22 1.5 CONCLUSION 25 APPENDIX 27 BIBLIOGRAFISCHE
INFORMATIONEN HTTP://D-NB.INFO/994722028 DIGITALISIERT DURCH 3.2.4 AR
MODEL 65 TABLE OF CONTENTS VII 2 THE REAL PREDICTIVE ABILITY OF NEW
KEYNESIAN MODELS 30 2.1 INTRODUCTION 30 2.2 MODELS 32 2.2.1 A
MEDIUM-SCALE NEW KEYNESIAN MODEL - SMETS & WOUTERS 32 2.2.2 A RBC MODEL
WITH REAL FRICTIONS 36 2.3 ESTIMATION PROCEDURE AND DATA 37 2.3.1
ESTIMATION 37 2.3.2 DATA 38 2.4 FORMATION OF FORECASTS AND MEASURE OF
FORECAST PERFORMANCE 39 2.5 RESULTS 41 2.5.1 ESTIMATION RESULTS OF DSGE
MODELS ... 41 2.5.2 FORECASTING RESULTS 43 2.5.3 IMPACT OF DIFFERENT
SPECIFICATIONS 46 2.5.4 FORECASTS DYNAMICS AND UNCERTAINTY .... 48 2.6
CONCLUSION 50 APPENDIX 53 3 LONG MEMORY AND MARKOV-SWITCHING: A BAYESIAN
MODEL AVERAGING PERSPECTIVE 58 3.1 INTRODUCTION 58 3.2 BAYESIAN MODEL
AVERAGING AND MODELS 60 3.2.1 BAYESIAN MODEL AVERAGING 60 3.2.2 MS-AR
MODEL 61 3.2.3 ARFIMA MODEL 64 TABLE OF CONTENTS VIII 3.2.5 PRACTICAL
IMPLEMENTATION 65 3.3 MONTE CARLO SIMULATION 66 3.3.1 SIMULATION SETUP
66 3.3.2 SIMULATION RESULTS 68 3.4 EMPIRICAL APPLICATIONS 73 3.5
CONCLUSION 77 DEUTSCHE ZUSAMMENFASSUNG 79 BIBLIOGRAPHY 85
|
| any_adam_object | 1 |
| author | Wang, Mu-Chun 1979- |
| author_GND | (DE-588)134097858 |
| author_facet | Wang, Mu-Chun 1979- |
| author_role | aut |
| author_sort | Wang, Mu-Chun 1979- |
| author_variant | m c w mcw |
| building | Verbundindex |
| bvnumber | BV035828676 |
| classification_rvk | QH 237 |
| ctrlnum | (OCoLC)439751772 (DE-599)DNB994722028 |
| dewey-full | 330.0112 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.0112 |
| dewey-search | 330.0112 |
| dewey-sort | 3330.0112 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Thesis Book |
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| indexdate | 2024-07-09T22:05:34Z |
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| isbn | 9783868441529 |
| language | English |
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| spelling | Wang, Mu-Chun 1979- Verfasser (DE-588)134097858 aut On the forecasting of economic time series structural versus data-based approaches von Mu-Chun Wang 1. ed. Göttingen Sierke 2009 X, 95 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Frankfurt (Main), Univ., Diss., 2009 Bayes-Statistik stw DSGE stw Dynamisches Gleichgewicht stw Markovscher Prozess stw Prognoseverfahren stw Real Business Cycle stw Stochastischer Prozess stw Theorie stw Ungleichgewichtstheorie stw Wirtschaft - Zeitreihenanalyse - Prognoseverfahren - Vergleich Wirtschaftsprognose stw Zeitreihenanalyse stw Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Vergleich (DE-588)4187713-5 gnd rswk-swf Wirtschaft (DE-588)4066399-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Wirtschaft (DE-588)4066399-1 s Zeitreihenanalyse (DE-588)4067486-1 s Prognoseverfahren (DE-588)4358095-6 s Vergleich (DE-588)4187713-5 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018687266&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wang, Mu-Chun 1979- On the forecasting of economic time series structural versus data-based approaches Bayes-Statistik stw DSGE stw Dynamisches Gleichgewicht stw Markovscher Prozess stw Prognoseverfahren stw Real Business Cycle stw Stochastischer Prozess stw Theorie stw Ungleichgewichtstheorie stw Wirtschaft - Zeitreihenanalyse - Prognoseverfahren - Vergleich Wirtschaftsprognose stw Zeitreihenanalyse stw Prognoseverfahren (DE-588)4358095-6 gnd Vergleich (DE-588)4187713-5 gnd Wirtschaft (DE-588)4066399-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4358095-6 (DE-588)4187713-5 (DE-588)4066399-1 (DE-588)4067486-1 (DE-588)4113937-9 |
| title | On the forecasting of economic time series structural versus data-based approaches |
| title_auth | On the forecasting of economic time series structural versus data-based approaches |
| title_exact_search | On the forecasting of economic time series structural versus data-based approaches |
| title_full | On the forecasting of economic time series structural versus data-based approaches von Mu-Chun Wang |
| title_fullStr | On the forecasting of economic time series structural versus data-based approaches von Mu-Chun Wang |
| title_full_unstemmed | On the forecasting of economic time series structural versus data-based approaches von Mu-Chun Wang |
| title_short | On the forecasting of economic time series |
| title_sort | on the forecasting of economic time series structural versus data based approaches |
| title_sub | structural versus data-based approaches |
| topic | Bayes-Statistik stw DSGE stw Dynamisches Gleichgewicht stw Markovscher Prozess stw Prognoseverfahren stw Real Business Cycle stw Stochastischer Prozess stw Theorie stw Ungleichgewichtstheorie stw Wirtschaft - Zeitreihenanalyse - Prognoseverfahren - Vergleich Wirtschaftsprognose stw Zeitreihenanalyse stw Prognoseverfahren (DE-588)4358095-6 gnd Vergleich (DE-588)4187713-5 gnd Wirtschaft (DE-588)4066399-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Bayes-Statistik DSGE Dynamisches Gleichgewicht Markovscher Prozess Prognoseverfahren Real Business Cycle Stochastischer Prozess Theorie Ungleichgewichtstheorie Wirtschaft - Zeitreihenanalyse - Prognoseverfahren - Vergleich Wirtschaftsprognose Zeitreihenanalyse Vergleich Wirtschaft Hochschulschrift |
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