Macroeconomic Forecasting in the Era of Big Data  Theory and Practice /  [electronic resource] : 
edited by Peter Fuleky. 
 - 1st ed. 2020. 
 - XIII, 719 p. 80 illus., 62 illus. in color.  online resource. 
 - Advanced Studies in Theoretical and Applied Econometrics,  52  2214-7977 ; .
 - Advanced Studies in Theoretical and Applied Econometrics,  52 .
<br/><br/>Introduction: Sources and Types of Big Data for Macroeconomic Forecasting -- Capturing Dynamic Relationships: Dynamic Factor Models -- Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs -- Large Bayesian Vector Autoregressions -- Volatility Forecasting in a Data Rich Environment -- Neural Networks -- Seeking Parsimony: Penalized Time Series Regression -- Principal Component and Static Factor Analysis -- Subspace Methods -- Variable Selection and Feature Screening -- Dealing with Model Uncertainty: Frequentist Averaging -- Bayesian Model Averaging -- Bootstrap Aggregating and Random Forest -- Boosting -- Density Forecasting -- Forecast Evaluation -- Further Issues: Unit Roots and Cointegration -- Turning Points and Classification -- Robust Methods for High-dimensional Regression and Covariance Matrix Estimation -- Frequency Domain -- Hierarchical Forecasting. 
<br/><br/> 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. 
<br/><br/><label>ISBN: </label>9783030311506 
<br/><br/><label>Standard No.: </label>10.1007/978-3-030-31150-6  doi 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Econometrics.<br/>Macroeconomics.<br/>Big data.<br/>Statistics .<br/>Quantitative research.<br/>Econometrics.<br/>Macroeconomics and Monetary Economics.<br/>Big Data.<br/>Statistics in Business, Management, Economics, Finance, Insurance.<br/>Data Analysis and Big Data.
<br/><br/><label>LC Class. No.: </label>HB139-141 
<br/><br/><label>Dewey Class. No.: </label>330.015195