TAILIEUCHUNG - Handbook of Economic Forecasting part 49

Handbook of Economic Forecasting part 49. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | 454 T Terasvirta Dacco R. Satchell S. 1999 . Why do regime-switching models forecast so badly . Journal of Forecasting 18 1-16. Davies . 1977 . Hypothesis testing when a nuisance parameter is present only under the alternative . Biometrika 64 247-254. De Gooijer . De Bruin . 1998 . On forecasting SETAR processes . Statistics and Probability Letters 37 7-14. De Gooijer . Vidiella-i-Anguera A. 2004 . Forecasting threshold cointegrated systems . International Journal of Forecasting 20 237-253. Deutsch M. Granger . J. Terasvirta T. 1994 . The combination of forecasts using changing weights . International Journal of Forecasting 10 47-57. Diebold . Mariano . 1995 . Comparing predictive accuracy . Journal of Business and Economic Statistics 13 253-263. Eitrheim 0. Terasvirta T. 1996 . Testing the adequacy of smooth transition autoregressive models . Journal of Econometrics 74 59-75. Elliott G. 2006 . Forecasting with trending data . In Elliott G. Granger . Timmermann A. Eds. Handbook of Economic Forecasting. Elsevier Amsterdam pp. 555-603. Chapter 11 in this volume. Enders W. Granger . 1998 . Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates . Journal of Business and Economic Statistics 16 304-311. Fan J. Yao Q. 2003 . Nonlinear Time Series. Nonparametric and Parametric Methods. Springer New York. Fine . 1999 . Feedforward Neural Network Methodology. Springer Berlin. Franses . van Dijk D. 2000 . Non-Linear Time Series Models in Empirical Finance. Cambridge University Press Cambridge. Friedman . Stuetzle W. 1981 . Projection pursuit regression . Journal of the American Statistical Association 76 817-823. Funahashi K. 1989 . On the approximate realization of continuous mappings by neural networks . Neural Networks 2 183-192. Garcia R. 1998 . Asymptotic null distribution of the likelihood ratio test in Markov switching models . International Economic Review 39 763-788. Giacomini R. .

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