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Forecasting in the presence of structural breaks and model uncertainty

Record Type:	Electronic resources : Monograph/item
Title/Author:	Forecasting in the presence of structural breaks and model uncertainty/ edited by David E. Raphach, Mark E. Wohar.
other author:	Rapach, David E.
Published:	Bingley, U.K. :Emerald, : 2008.,
Description:	1 online resource (xxvii, 661 p.).
Notes:	Includes index.
Subject:	Business & Economics - Economics -
Online resource:	http://www.emeraldinsight.com/1574-8715/3
ISBN:	9781849505406 (electronic bk.)

Forecasting in the presence of structural breaks and model uncertainty
Forecasting in the presence of structural breaks and model uncertainty[electronic resource]/edited by David E. Raphach, Mark E. Wohar. - Bingley, U.K. :Emerald,2008. - 1 online resource (xxvii, 661 p.). - Frontiers of economics and globalization,v. 31574-8715 ;. - Frontiers of economics and globalization ;v. 9..

Includes index.

Forecasting macroeconomic variables using diffusion indexes in shortsamples with structural change / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Predictive inference under model misspecification / Nii Ayi Armah, Norman R. Swanson -- Forecasting persistent data with possible structural breaks : old school and new school lessons using OECD unemployment rates / Walter Enders, Ruxandra Prodan -- What can we learn from comprehensive data revisions for forecasting inflation? Some US evidence / Pierre L. Siklos -- Forecasting annual UK inflation usingan econometric model over 1875-1991 / Michael P. Clements, David F. Hendry -- Estimating and forecasting GARCH models in the presence of structural breaks and regime switches / Eric Hillebrand, Marcelo C. Medeiros -- A source of long memory in volatility / Namwon Hyung, Ser-Huang Poon, Clive W.J. Granger -- Forecasting stock return volatility in the presence of structural breaks / David E. Rapach, Jack K. Strauss, Mark E.Wohar -- Forecasting UK inflation : the roles of structural breaks andtime disaggregation / Jennifer L. Castle, David F. Hendry -- Financialtime series and volatility prediction using NoVaS transformations / Dimitris N. Politis, Dimitrios D. Thomakos -- Modeling foreign exchange rates with jumps / John M. Maheu, Thomas H. McCurdy -- Bagging binary and quantile predictors for time series : further issues / Tae-Hwy Lee, Yang Yang -- Forecasting interest rates : an application of the stochastic unit root and stochastic cointegration frameworks / Robert Sollis --Bayesian model averaging in the presence of structural breaks / Francesco Ravazzolo, Richard Paap, Dick van Dijk, Philip Hans Franses -- The economic and statistical value of forecast combinations under regime switching : an application topredictable US returns / Massimo Guidolin, Carrie Fangzhou Na -- Forecasting with small macroeconomic VARs in the presence of instabilities / Todd E. Clark, Michael W. McCracken -- Frontiers of economics and globalization / Hamid Beladi, E. Kwan Choi.

Forecasting in the presence of structural breaks and model uncertainty are active areas of recent research with crucial implications for practical problems in forecasting. Forecasting in the Presence of Structural Breaks and Model Uncertainty presents findings from the recent literature and new findings in a way that will be very useful to academic researchers and practitioners alike.Each chapter includes detailed empirical applications that demonstrate the usefulness (and limitations) ofdifferent methods for generating forecasts when structural breaks and model uncertainty are of significant concern. The authors describe in detail their methods and their results, and the data and programs are made available on a web site devoted to the book. The volume addresses forecasting variables from both Macroeconomics and Finance, and considers many different methods of dealing with modelinstability and model uncertainty when forming forecasts.Authors are leading experts in the topics they survey and extend. This book is supported by a website detailingthe data and programs used.

ISBN: 9781849505406 (electronic bk.)Subjects--Topical Terms:

332626
Business & Economics
--Economics

LC Class. No.: HB3730 / .F67 2008

Dewey Class. No.: 338.5442

Universal Decimal Class. No.: 338

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