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Short-term Forecasting for Empirical Economists: A Survey of the Recently Proposed AlgorithmsA Survey of the Recently Proposed Algorithms by Pilar Poncela, Gabriel Perez-Quiros, Maximo Camacho (Paperback, 2013)
The ecomic shocks brought about by the Great Recession triggered drastic reactions by policy makers and private agents alike. Such dramatic ecomic consequences have lead ecomics agents to ackwledge the need for new tools to monitor ecomic developments in real time, and learn early detection methods to foresee downturns and recoveries Short-term Forecasting for Empirical Ecomists seeks to close the gap between research and applied short-term forecasting. The authors review some of the key theoretical results and empirical findings in the recent literature on short-term forecasting, and translate these findings into ecomically meaningful techniques to facilitate their widespread application to compute short-term forecasts in ecomics, and to monitor the ongoing business cycle developments in real time. Short-term Forecasting for Empirical Ecomists is divided into five sections. Section 1 outlines what forecasting frameworks are surveyed and why. Section 2 introduces the tation and main characteristics of the data for short term forecasting. Section 3 reviews the main models used for this purpose and addresses the role of the number of series in factor models. Section 4 illustrates the forecasting performance of the different models reviewed in Section 3 through an empirical application. Finally, section 5 reviews the main results and proposes some lines for further research.
Gabriel Perez-Quiros, Maximo Camacho, Pilar Poncela