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This authoritative and wide-ranging collection presents over fifty
of the most important articles on forecasting - a technique that
lies at the heart of economic policy and decision-making. This
comprehensive two volume set presents the major papers in
macroeconomic forecasting and policy making; time series
forecasting; the econometrics of forecasting; forecast evaluation;
forecasting with leading indicators; forecasting in finance and
economic forecasting using surveys.
The behaviour of long term, secular trends and shorter run,
business cycle, movements in economic data have long been a concern
of economists, statisticians and econometricians. The isolation and
interpretation of cyclical movements was the basis for early
empirical work in economics, while the early dynamic models were
constructed to reproduce cyclical fluctuations. The first
econometric models analysed the cyclical path of economies, while
focusing attention on the processes that generate trends in
economic variables has led to the recent revolution in time series
econometrics. Long Term Trends and Business Cycles brings together
the key contributions in these various areas and comprises 54
papers published from 1923 to 1999. It will be of interest to
economists and econometricians engaged in the analysis of
macroeconomic time series.
The forecasting of financial markets has engaged the attention of
market professionals and academic economists and statisticians for
many years, and has also attracted the interest of numerous
'amateur' investors. This book brings together key papers in this
wide field. After considering some of the earliest attempts at
forecasting, it provides an insight into the theoretical
underpinnings of the subject, investigates the random walk model,
and examines various financial markets, volatility and density
forecasting, the forecasting of extreme events, trading rules,
technical analysis and high frequency data.
Modelling trends and cycles in economic time series has a long
history, with the use of linear trends and moving averages forming
the basic tool kit of economists until the 1970s. Several
developments in econometrics then led to an overhaul of the
techniques used to extract trends and cycles from time series. In
this second edition, Terence Mills expands on the research in the
area of trends and cycles over the last (almost) two decades, to
highlight to students and researchers the variety of techniques and
the considerations that underpin their choice for modelling trends
and cycles.
Modelling trends and cycles in economic time series has a long
history, with the use of linear trends and moving averages forming
the basic tool kit of economists until the 1970s. Several
developments in econometrics then led to an overhaul of the
techniques used to extract trends and cycles from time series. In
this second edition, Terence Mills expands on the research in the
area of trends and cycles over the last (almost) two decades, to
highlight to students and researchers the variety of techniques and
the considerations that underpin their choice for modelling trends
and cycles.
This book provides an introductory treatment of time series
econometrics, a subject that is of key importance to both students
and practitioners of economics. It contains material that any
serious student of economics and finance should be acquainted with
if they are seeking to gain an understanding of a real functioning
economy.
This book develops the analysis of Time Series from its formal
beginnings in the 1890s through to the publication of Box and
Jenkins' watershed publication in 1970, showing how these methods
laid the foundations for the modern techniques of Time Series
analysis that are in use today.
This book develops the analysis of Time Series from its formal
beginnings in the 1890s through to the publication of Box and
Jenkins' watershed publication in 1970, showing how these methods
laid the foundations for the modern techniques of Time Series
analysis that are in use today.
"Palgrave Handbook of Econometrics" is comprised of landmark essays
by the world's leading scholars and provides authoritative and
definitive guidance in key areas of econometrics. With definitive
contributions on the subject, the Handbook is an essential source
of reference for professional econometricians, economists,
researchers and students.
Volume I covers developments in theoretical econometrics, including
essays on the methodology and history of econometrics, developments
in time-series and cross-section econometrics, modelling with
integrated variables, Bayesian econometrics, simulation methods and
a selection of special topics.
Palgrave Handbook of Econometrics comprises 'landmark' essays by
the world's leading scholars and provides authoritative and
definitive guidance in key areas of econometrics. With definitive
contributions on the subject, the Handbook is an essential source
of reference for professional econometricians, economists,
researchers and students. Volume I covers developments in
theoretical econometrics, including essays on the methodology and
history of econometrics, developments in time-series and
cross-section econometrics, modelling with integrated variables,
Bayesian econometrics, simulation methods and a selection of
special topics.
Terence Mills' best-selling graduate textbook provides detailed
coverage of the latest research techniques and findings relating to
the empirical analysis of financial markets. In its previous
editions it has become required reading for many graduate courses
on the econometrics of financial modelling. The third edition,
co-authored with Raphael Markellos, contains a wealth of new
material reflecting the developments of the last decade. Particular
attention is paid to the wide range of nonlinear models that are
used to analyse financial data observed at high frequencies and to
the long memory characteristics found in financial time series. The
central material on unit root processes and the modelling of trends
and structural breaks has been substantially expanded into a
chapter of its own. There is also an extended discussion of the
treatment of volatility, accompanied by a new chapter on
nonlinearity and its testing.
The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. This book brings together recent research at the frontiers of the subject and analyzes the areas of time series analysis of most importance to applied economics. The author discusses three basic areas of time series analysis: univariate models, multivariate models, and nonlinear models. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. It is an up-to-date text, extending the basic techniques of analysis to cover the development of methods that can be used to analyze a wide range of economic problems.
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