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Economic forecasting /
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
Nova Science Publishers,
©2010.
|
| Colección: | Economic issues, problems and perspectives series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- ECONOMIC FORECASTING; CONTENTS; PREFACE; TEMPORAL DISAGGREGATIONOF TIME SERIES-A REVIEW; Abstract; 1. Introduction; 2. Methods that Do not Use Indicators; 3. Methods Based on Indicators; 3.1. Adjusting Methods; 3.2. Structural and Econometrics Model Methods; 3.3. Optimal Methods; 4. Methods Based on the Representation in the State Space; 5. Approaches from the Frequency Domain; 6. Conclusion; References; ECONOMETRIC MODELLING AND FORECASTINGOF PRIVATE HOUSING DEMAND; Abstract; Introduction; Housing Demand and Macro-economic Variables; Methodology; The Econometric Model.
- Impulse Response AnalysisSources of Data; Model Specification and Implications; Unit Root Tests; Weak Exogeneity; Cointegration Tests; Vector Error-Correction Model; Model Verification; Impulse Responses and Variance Decomposition; Limitations of the Forecasting Model; Conclusion; Acknowledgement; References; SIGNAL AND NOISE DECOMPOSITIONOF NONSTATIONARY TIME SERIES; Abstract; 1. Introduction; 2. A General Framework for Decomposing Time Series; 3. Signal Extraction from ARIMA Models; 3.1. The Beveridge-Nelson Signal Extraction Filter; 3.2. A Beveridge-Nelson Smoother.
- 3.3. A Canonical Decomposition3.4. ARIMA Components; 4. Structural Models and State Space Forms; 4.1. A General Class of Structural Models; 4.2. State Space Formulation and the Kalman Filter; 5. Trend Filters; 5.1. Henderson and Macaulay Trend Filters; 5.2. Hodrick-Prescott, Butterworth and Low-Pass Filters; 6. Nonlinear and Nonparametric Trends; 7. Signal Extraction from Finite Samples; 7.1. ARIMA Components; 7.2. Moving Average Filters; 7.3. Structural, Nonlinear and Nonparametric Trends; 8. Conclusion; References; A COST OF CAPITAL ANALYSISOF THE GAINS FROM SECURITIZATION; Abstract.
- IntroductionCalculating Costs of Capital; Potential Sources of Gains from Securitization; Data; Results; Summary Statistics; Sources of Gains in Total Sample; Size Counts; With or without Equity Risk Retention; Industry Sub-Samples; Conclusion; Acknowledgements; Appendix: 120 Securitizing Companies with Average Sizes of Securitization Tranches; References; THE NONPARAMETRIC TIME-DETRENDEDFISHER EFFECT; Abstract; 1. Introduction; 2. Univariate Analysis
- Modeling Inflationand Nominal Interest Rates; 3. Parametric and Nonparametric VAR Models; 3.1. The Parametric Model.
- 3.2. The Nonparametric Model3.3. Testing for the Fisher Effect; 4. Empirical Results; 4.1. First Sample Period; 4.2. Second Sample Period; 5. Conclusion; References; FORECASTING ABILITY AND STRATEGIC BEHAVIOROF JAPANESE INSTITUTIONAL FORECASTERS; Abstract; 1. Introduction; 2. Data; 3. Definition of Variables; 4. Trueman's Hypothesis; 4.1. Overview of Trueman's Theory; 4.2. Empirical Results; 5. Clarke and Subramanian's Hypothesis; 5.1. Overview of Clarke and Subramanian's Theory; 5.2. Empirical Results; 6. Conclusions; References.