This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
|
|
|
|
1 Sources and Types of Big Data for Macroeconomic Forecasting |
|
|
3 | (24) |
|
|
|
Part II Capturing Dynamic Relationships |
|
|
|
|
|
27 | (38) |
|
|
|
|
|
3 Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs |
|
|
65 | (30) |
|
|
|
|
|
|
|
4 Large Bayesian Vector Autoregressions |
|
|
95 | (32) |
|
|
|
5 Volatility Forecasting in a Data Rich Environment |
|
|
127 | (34) |
|
|
|
|
|
|
|
|
|
|
|
161 | (32) |
|
|
|
Part III Seeking Parsimony |
|
|
|
7 Penalized Time Series Regression |
|
|
193 | (36) |
|
|
|
|
|
|
|
8 Principal Component and Static Factor Analysis |
|
|
229 | (38) |
|
|
|
|
|
|
|
|
|
267 | (26) |
|
|
|
|
|
10 Variable Selection and Feature Screening |
|
|
293 | (36) |
|
|
|
|
|
Part IV Dealing with Model Uncertainty |
|
|
|
|
|
329 | (30) |
|
|
|
|
|
|
|
12 Bayesian Model Averaging |
|
|
359 | (30) |
|
|
|
|
|
13 Bootstrap Aggregating and Random Forest |
|
|
389 | (42) |
|
|
|
|
|
|
|
|
|
431 | (34) |
|
|
|
|
|
|
|
|
|
|
|
465 | (30) |
|
|
|
|
|
|
|
|
|
495 | (46) |
|
|
|
|
|
|
|
|
|
|
17 Unit Roots and Cointegration |
|
|
541 | (44) |
|
|
|
|
|
18 Turning Points and Classification |
|
|
585 | (40) |
|
|
|
19 Robust Methods for High-Dimensional Regression and Covariance Matrix Estimation |
|
|
625 | (30) |
|
|
|
|
|
655 | (34) |
|
|
|
|
|
21 Hierarchical Forecasting |
|
|
689 | |
|
|
|
|
|
|
|
|
|
|
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.
