John E. Silvia, Azhar Iqbal, Kaylyn Swankoski, Sarah Watt, Sam Bullard
Economic and Business Forecasting (eBook, ePUB)
Analyzing and Interpreting Econometric Results
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John E. Silvia, Azhar Iqbal, Kaylyn Swankoski, Sarah Watt, Sam Bullard
Economic and Business Forecasting (eBook, ePUB)
Analyzing and Interpreting Econometric Results
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Discover the secrets to applying simple econometric techniques to improve forecasting Equipping analysts, practitioners, and graduate students with a statistical framework to make effective decisions based on the application of simple economic and statistical methods, Economic and Business Forecasting offers a comprehensive and practical approach to quantifying and accurate forecasting of key variables. Using simple econometric techniques, author John E. Silvia focuses on a select set of major economic and financial variables, revealing how to optimally use statistical software as a template…mehr
- Geräte: eReader
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Discover the secrets to applying simple econometric techniques to improve forecasting Equipping analysts, practitioners, and graduate students with a statistical framework to make effective decisions based on the application of simple economic and statistical methods, Economic and Business Forecasting offers a comprehensive and practical approach to quantifying and accurate forecasting of key variables. Using simple econometric techniques, author John E. Silvia focuses on a select set of major economic and financial variables, revealing how to optimally use statistical software as a template to apply to your own variables of interest. * Presents the economic and financial variables that offer unique insights into economic performance * Highlights the econometric techniques that can be used to characterize variables * Explores the application of SAS software, complete with simple explanations of SAS-code and output * Identifies key econometric issues with practical solutions to those problems Presenting the "ten commandments" for economic and business forecasting, this book provides you with a practical forecasting framework you can use for important everyday business applications.
Produktdetails
- Produktdetails
- Verlag: John Wiley & Sons
- Seitenzahl: 400
- Erscheinungstermin: 10. März 2014
- Englisch
- ISBN-13: 9781118569542
- Artikelnr.: 40613701
- Verlag: John Wiley & Sons
- Seitenzahl: 400
- Erscheinungstermin: 10. März 2014
- Englisch
- ISBN-13: 9781118569542
- Artikelnr.: 40613701
JOHN E. SILVIA is a Managing Director and the Chief Economist for Wells Fargo Securities. In 2010, he was recognized for the Best Inflation Forecast, the Best Overall Forecast, and the Best Personal Consumption Expenditures Forecast by The Federal Reserve Bank of Chicago. AZHAR IQBAL is an Econometrician and Vice President at Wells Fargo Securities where he provides quantitative analysis to the Economics group as well as modeling and forecasting of macro and financial variables. He has spoken at the American Economic Association, Econometric Society, and other international conferences. SAM BULLARD is a Managing Director and Senior Economist at Wells Fargo Securities providing analysis and commentary on financial markets and macroeconomic developments. SARAH WATT is an Economist with Wells Fargo Securities. She covers the U.S. macro economy, including labor market trends. She also works closely with senior members of her team to produce special reports and regional economic commentary on several U.S. states. KAYLYN SWANKOSKI is an Economic Analyst at Wells Fargo Securities.
Preface xiii Acknowledgments xvii Chapter 1 Creating Harmony Out of Noisy
Data 1 Effective Decision Making: Characterize the Data 2 Chapter 2 First,
Understand the Data 27 Growth: How Is the Economy Doing Overall? 30
Personal Consumption 31 Gross Private Domestic Investment 33 Government
Purchases 35 Net Exports of Goods and Services 36 Real Final Sales and
Gross Domestic Purchases 37 The Labor Market: Always a Core Issue 37
Establishment Survey 39 Data Revision: A Special Consideration 42 The
Household Survey 43 Marrying the Labor Market Indicators Together 48
Jobless Claims 48 Inflation 49 Consumer Price Index: A Society's Inflation
Benchmark 50 Producer Price Index 53 Personal Consumption Expenditure
Deflator: The Inflation Benchmark for Monetary Policy 55 Interest Rates:
Price of Credit 56 The Dollar and Exchange Rates: The United States in a
Global Economy 58 Corporate Profits 60 Summary 62 Chapter 3 Financial
Ratios 63 Profitability Ratios 64 Summary 73 Chapter 4 Characterizing a
Time Series 75 Why Characterize a Time Series? 76 How to Characterize a
Time Series 77 Application: Judging Economic Volatility 101 Summary 109
Chapter 5 Characterizing a Relationship between Time Series 111 Important
Test Statistics in Identifying Statistically Significant Relationships 115
Simple Econometric Techniques to Determine a Statistical Relationship 119
Advanced Econometric Techniques to Determine a Statistical Relationship 120
Summary 126 Additional Reading 127 Chapter 6 Characterizing a Time Series
Using SAS Software 129 Tips for SAS Users 130 The DATA Step 131 The PROC
Step 135 Summary 156 Chapter 7 Testing for a Unit Root and Structural Break
Using SAS Software 157 Testing a Unit Root in a Time Series: A Case Study
of the U.S. CPI 158 Identifying a Structural Change in a Time Series 162
The Application of the HP Filter 169 Application: Benchmarking the Housing
Bust, Bear Stearns, and Lehman Brothers 172 Summary 177 Chapter 8
Characterizing a Relationship Using SAS 179 Useful Tips for an Applied Time
Series Analysis 179 Converting a Dataset from One Frequency to Another 182
Application: Did the Great Recession Alter Credit Benchmarks? 215 Summary
221 Chapter 9 The 10 Commandments of Applied Time Series Forecasting for
Business and Economics 223 Commandment 1: Know What You Are Forecasting 224
Commandment 2: Understand the Purpose of Forecasting 226 Commandment 3:
Acknowledge the Cost of the Forecast Error 226 Commandment 4: Rationalize
the Forecast Horizon 229 Commandment 5: Understand the Choice of Variables
231 Commandment 6: Rationalize the Forecasting Model Used 232 Commandment
7: Know How to Present the Results 234 Commandment 8: Know How to Decipher
the Forecast Results 235 Commandment 9: Understand the Importance of
Recursive Methods 238 Commandment 10: Understand Forecasting Models Evolve
over Time 239 Summary 240 Chapter 10 A Single-Equation Approach to
Model-Based Forecasting 241 The Unconditional (Atheoretical) Approach 242
The Conditional (Theoretical) Approach 251 Recession Forecast Using a
Probit Model 257 Summary 261 Chapter 11 A Multiple-Equations Approach to
Model-Based Forecasting 263 The Importance of the Real-Time Short-Term
Forecasting 265 The Individual Forecast versus Consensus Forecast: Is There
an Advantage? 266 The Econometrics of Real-Time Short-Term Forecasting: The
BVAR Approach 268 Forecasting in Real Time: Issues Related to the Data and
the Model Selection 275 Case Study: WFC versus Bloomberg 280 Summary 288
Appendix 11A: List of Variables 289 Chapter 12 A Multiple-Equations
Approach to Long-Term Forecasting 291 The Unconditional Long-Term
Forecasting: The BVAR Model 293 The BVAR Model with Housing Starts 296 The
Model without Oil Price Shock 298 The Model with Oil Price Shock 304
Summary 306 Chapter 13 The Risks of Model-Based Forecasting: Modeling,
Assessing, and Remodeling 307 Risks to Short-Term Forecasting: There Is No
Magic Bullet 308 Risks of Long-Term Forecasting: Black Swan versus a Group
of Black Swans 310 Model-Based Forecasting and the Great
Recession/Financial Crisis: Worst-Case Scenario versus Panic 314 Summary
315 Chapter 14 Putting the Analysis to Work in the Twenty-First-Century
Economy 317 Benchmarking Economic Growth 318 Industrial Production: Another
Case of Stationary Behavior 322 Employment: Jobs in the Twenty-First
Century 324 Inflation 331 Interest Rates 337 Imbalances between Bond Yields
and Equity Earnings 338 A Note of Caution on Patterns of Interest Rates 345
Business Credit: Patterns Reminiscent of Cyclical Recovery 347 Profits 348
Financial Market Volatility: Assessing Risk 349 Dollar 351 Economic Policy:
Impact of Fiscal Policy and the Evolution of the U.S. Economy 353 The
Long-Term Deficit Bias and Its Economic Implications 358 Summary 362
Appendix: Useful References for SAS Users 365 About the Authors 367 Index
369
Data 1 Effective Decision Making: Characterize the Data 2 Chapter 2 First,
Understand the Data 27 Growth: How Is the Economy Doing Overall? 30
Personal Consumption 31 Gross Private Domestic Investment 33 Government
Purchases 35 Net Exports of Goods and Services 36 Real Final Sales and
Gross Domestic Purchases 37 The Labor Market: Always a Core Issue 37
Establishment Survey 39 Data Revision: A Special Consideration 42 The
Household Survey 43 Marrying the Labor Market Indicators Together 48
Jobless Claims 48 Inflation 49 Consumer Price Index: A Society's Inflation
Benchmark 50 Producer Price Index 53 Personal Consumption Expenditure
Deflator: The Inflation Benchmark for Monetary Policy 55 Interest Rates:
Price of Credit 56 The Dollar and Exchange Rates: The United States in a
Global Economy 58 Corporate Profits 60 Summary 62 Chapter 3 Financial
Ratios 63 Profitability Ratios 64 Summary 73 Chapter 4 Characterizing a
Time Series 75 Why Characterize a Time Series? 76 How to Characterize a
Time Series 77 Application: Judging Economic Volatility 101 Summary 109
Chapter 5 Characterizing a Relationship between Time Series 111 Important
Test Statistics in Identifying Statistically Significant Relationships 115
Simple Econometric Techniques to Determine a Statistical Relationship 119
Advanced Econometric Techniques to Determine a Statistical Relationship 120
Summary 126 Additional Reading 127 Chapter 6 Characterizing a Time Series
Using SAS Software 129 Tips for SAS Users 130 The DATA Step 131 The PROC
Step 135 Summary 156 Chapter 7 Testing for a Unit Root and Structural Break
Using SAS Software 157 Testing a Unit Root in a Time Series: A Case Study
of the U.S. CPI 158 Identifying a Structural Change in a Time Series 162
The Application of the HP Filter 169 Application: Benchmarking the Housing
Bust, Bear Stearns, and Lehman Brothers 172 Summary 177 Chapter 8
Characterizing a Relationship Using SAS 179 Useful Tips for an Applied Time
Series Analysis 179 Converting a Dataset from One Frequency to Another 182
Application: Did the Great Recession Alter Credit Benchmarks? 215 Summary
221 Chapter 9 The 10 Commandments of Applied Time Series Forecasting for
Business and Economics 223 Commandment 1: Know What You Are Forecasting 224
Commandment 2: Understand the Purpose of Forecasting 226 Commandment 3:
Acknowledge the Cost of the Forecast Error 226 Commandment 4: Rationalize
the Forecast Horizon 229 Commandment 5: Understand the Choice of Variables
231 Commandment 6: Rationalize the Forecasting Model Used 232 Commandment
7: Know How to Present the Results 234 Commandment 8: Know How to Decipher
the Forecast Results 235 Commandment 9: Understand the Importance of
Recursive Methods 238 Commandment 10: Understand Forecasting Models Evolve
over Time 239 Summary 240 Chapter 10 A Single-Equation Approach to
Model-Based Forecasting 241 The Unconditional (Atheoretical) Approach 242
The Conditional (Theoretical) Approach 251 Recession Forecast Using a
Probit Model 257 Summary 261 Chapter 11 A Multiple-Equations Approach to
Model-Based Forecasting 263 The Importance of the Real-Time Short-Term
Forecasting 265 The Individual Forecast versus Consensus Forecast: Is There
an Advantage? 266 The Econometrics of Real-Time Short-Term Forecasting: The
BVAR Approach 268 Forecasting in Real Time: Issues Related to the Data and
the Model Selection 275 Case Study: WFC versus Bloomberg 280 Summary 288
Appendix 11A: List of Variables 289 Chapter 12 A Multiple-Equations
Approach to Long-Term Forecasting 291 The Unconditional Long-Term
Forecasting: The BVAR Model 293 The BVAR Model with Housing Starts 296 The
Model without Oil Price Shock 298 The Model with Oil Price Shock 304
Summary 306 Chapter 13 The Risks of Model-Based Forecasting: Modeling,
Assessing, and Remodeling 307 Risks to Short-Term Forecasting: There Is No
Magic Bullet 308 Risks of Long-Term Forecasting: Black Swan versus a Group
of Black Swans 310 Model-Based Forecasting and the Great
Recession/Financial Crisis: Worst-Case Scenario versus Panic 314 Summary
315 Chapter 14 Putting the Analysis to Work in the Twenty-First-Century
Economy 317 Benchmarking Economic Growth 318 Industrial Production: Another
Case of Stationary Behavior 322 Employment: Jobs in the Twenty-First
Century 324 Inflation 331 Interest Rates 337 Imbalances between Bond Yields
and Equity Earnings 338 A Note of Caution on Patterns of Interest Rates 345
Business Credit: Patterns Reminiscent of Cyclical Recovery 347 Profits 348
Financial Market Volatility: Assessing Risk 349 Dollar 351 Economic Policy:
Impact of Fiscal Policy and the Evolution of the U.S. Economy 353 The
Long-Term Deficit Bias and Its Economic Implications 358 Summary 362
Appendix: Useful References for SAS Users 365 About the Authors 367 Index
369
Preface xiii Acknowledgments xvii Chapter 1 Creating Harmony Out of Noisy
Data 1 Effective Decision Making: Characterize the Data 2 Chapter 2 First,
Understand the Data 27 Growth: How Is the Economy Doing Overall? 30
Personal Consumption 31 Gross Private Domestic Investment 33 Government
Purchases 35 Net Exports of Goods and Services 36 Real Final Sales and
Gross Domestic Purchases 37 The Labor Market: Always a Core Issue 37
Establishment Survey 39 Data Revision: A Special Consideration 42 The
Household Survey 43 Marrying the Labor Market Indicators Together 48
Jobless Claims 48 Inflation 49 Consumer Price Index: A Society's Inflation
Benchmark 50 Producer Price Index 53 Personal Consumption Expenditure
Deflator: The Inflation Benchmark for Monetary Policy 55 Interest Rates:
Price of Credit 56 The Dollar and Exchange Rates: The United States in a
Global Economy 58 Corporate Profits 60 Summary 62 Chapter 3 Financial
Ratios 63 Profitability Ratios 64 Summary 73 Chapter 4 Characterizing a
Time Series 75 Why Characterize a Time Series? 76 How to Characterize a
Time Series 77 Application: Judging Economic Volatility 101 Summary 109
Chapter 5 Characterizing a Relationship between Time Series 111 Important
Test Statistics in Identifying Statistically Significant Relationships 115
Simple Econometric Techniques to Determine a Statistical Relationship 119
Advanced Econometric Techniques to Determine a Statistical Relationship 120
Summary 126 Additional Reading 127 Chapter 6 Characterizing a Time Series
Using SAS Software 129 Tips for SAS Users 130 The DATA Step 131 The PROC
Step 135 Summary 156 Chapter 7 Testing for a Unit Root and Structural Break
Using SAS Software 157 Testing a Unit Root in a Time Series: A Case Study
of the U.S. CPI 158 Identifying a Structural Change in a Time Series 162
The Application of the HP Filter 169 Application: Benchmarking the Housing
Bust, Bear Stearns, and Lehman Brothers 172 Summary 177 Chapter 8
Characterizing a Relationship Using SAS 179 Useful Tips for an Applied Time
Series Analysis 179 Converting a Dataset from One Frequency to Another 182
Application: Did the Great Recession Alter Credit Benchmarks? 215 Summary
221 Chapter 9 The 10 Commandments of Applied Time Series Forecasting for
Business and Economics 223 Commandment 1: Know What You Are Forecasting 224
Commandment 2: Understand the Purpose of Forecasting 226 Commandment 3:
Acknowledge the Cost of the Forecast Error 226 Commandment 4: Rationalize
the Forecast Horizon 229 Commandment 5: Understand the Choice of Variables
231 Commandment 6: Rationalize the Forecasting Model Used 232 Commandment
7: Know How to Present the Results 234 Commandment 8: Know How to Decipher
the Forecast Results 235 Commandment 9: Understand the Importance of
Recursive Methods 238 Commandment 10: Understand Forecasting Models Evolve
over Time 239 Summary 240 Chapter 10 A Single-Equation Approach to
Model-Based Forecasting 241 The Unconditional (Atheoretical) Approach 242
The Conditional (Theoretical) Approach 251 Recession Forecast Using a
Probit Model 257 Summary 261 Chapter 11 A Multiple-Equations Approach to
Model-Based Forecasting 263 The Importance of the Real-Time Short-Term
Forecasting 265 The Individual Forecast versus Consensus Forecast: Is There
an Advantage? 266 The Econometrics of Real-Time Short-Term Forecasting: The
BVAR Approach 268 Forecasting in Real Time: Issues Related to the Data and
the Model Selection 275 Case Study: WFC versus Bloomberg 280 Summary 288
Appendix 11A: List of Variables 289 Chapter 12 A Multiple-Equations
Approach to Long-Term Forecasting 291 The Unconditional Long-Term
Forecasting: The BVAR Model 293 The BVAR Model with Housing Starts 296 The
Model without Oil Price Shock 298 The Model with Oil Price Shock 304
Summary 306 Chapter 13 The Risks of Model-Based Forecasting: Modeling,
Assessing, and Remodeling 307 Risks to Short-Term Forecasting: There Is No
Magic Bullet 308 Risks of Long-Term Forecasting: Black Swan versus a Group
of Black Swans 310 Model-Based Forecasting and the Great
Recession/Financial Crisis: Worst-Case Scenario versus Panic 314 Summary
315 Chapter 14 Putting the Analysis to Work in the Twenty-First-Century
Economy 317 Benchmarking Economic Growth 318 Industrial Production: Another
Case of Stationary Behavior 322 Employment: Jobs in the Twenty-First
Century 324 Inflation 331 Interest Rates 337 Imbalances between Bond Yields
and Equity Earnings 338 A Note of Caution on Patterns of Interest Rates 345
Business Credit: Patterns Reminiscent of Cyclical Recovery 347 Profits 348
Financial Market Volatility: Assessing Risk 349 Dollar 351 Economic Policy:
Impact of Fiscal Policy and the Evolution of the U.S. Economy 353 The
Long-Term Deficit Bias and Its Economic Implications 358 Summary 362
Appendix: Useful References for SAS Users 365 About the Authors 367 Index
369
Data 1 Effective Decision Making: Characterize the Data 2 Chapter 2 First,
Understand the Data 27 Growth: How Is the Economy Doing Overall? 30
Personal Consumption 31 Gross Private Domestic Investment 33 Government
Purchases 35 Net Exports of Goods and Services 36 Real Final Sales and
Gross Domestic Purchases 37 The Labor Market: Always a Core Issue 37
Establishment Survey 39 Data Revision: A Special Consideration 42 The
Household Survey 43 Marrying the Labor Market Indicators Together 48
Jobless Claims 48 Inflation 49 Consumer Price Index: A Society's Inflation
Benchmark 50 Producer Price Index 53 Personal Consumption Expenditure
Deflator: The Inflation Benchmark for Monetary Policy 55 Interest Rates:
Price of Credit 56 The Dollar and Exchange Rates: The United States in a
Global Economy 58 Corporate Profits 60 Summary 62 Chapter 3 Financial
Ratios 63 Profitability Ratios 64 Summary 73 Chapter 4 Characterizing a
Time Series 75 Why Characterize a Time Series? 76 How to Characterize a
Time Series 77 Application: Judging Economic Volatility 101 Summary 109
Chapter 5 Characterizing a Relationship between Time Series 111 Important
Test Statistics in Identifying Statistically Significant Relationships 115
Simple Econometric Techniques to Determine a Statistical Relationship 119
Advanced Econometric Techniques to Determine a Statistical Relationship 120
Summary 126 Additional Reading 127 Chapter 6 Characterizing a Time Series
Using SAS Software 129 Tips for SAS Users 130 The DATA Step 131 The PROC
Step 135 Summary 156 Chapter 7 Testing for a Unit Root and Structural Break
Using SAS Software 157 Testing a Unit Root in a Time Series: A Case Study
of the U.S. CPI 158 Identifying a Structural Change in a Time Series 162
The Application of the HP Filter 169 Application: Benchmarking the Housing
Bust, Bear Stearns, and Lehman Brothers 172 Summary 177 Chapter 8
Characterizing a Relationship Using SAS 179 Useful Tips for an Applied Time
Series Analysis 179 Converting a Dataset from One Frequency to Another 182
Application: Did the Great Recession Alter Credit Benchmarks? 215 Summary
221 Chapter 9 The 10 Commandments of Applied Time Series Forecasting for
Business and Economics 223 Commandment 1: Know What You Are Forecasting 224
Commandment 2: Understand the Purpose of Forecasting 226 Commandment 3:
Acknowledge the Cost of the Forecast Error 226 Commandment 4: Rationalize
the Forecast Horizon 229 Commandment 5: Understand the Choice of Variables
231 Commandment 6: Rationalize the Forecasting Model Used 232 Commandment
7: Know How to Present the Results 234 Commandment 8: Know How to Decipher
the Forecast Results 235 Commandment 9: Understand the Importance of
Recursive Methods 238 Commandment 10: Understand Forecasting Models Evolve
over Time 239 Summary 240 Chapter 10 A Single-Equation Approach to
Model-Based Forecasting 241 The Unconditional (Atheoretical) Approach 242
The Conditional (Theoretical) Approach 251 Recession Forecast Using a
Probit Model 257 Summary 261 Chapter 11 A Multiple-Equations Approach to
Model-Based Forecasting 263 The Importance of the Real-Time Short-Term
Forecasting 265 The Individual Forecast versus Consensus Forecast: Is There
an Advantage? 266 The Econometrics of Real-Time Short-Term Forecasting: The
BVAR Approach 268 Forecasting in Real Time: Issues Related to the Data and
the Model Selection 275 Case Study: WFC versus Bloomberg 280 Summary 288
Appendix 11A: List of Variables 289 Chapter 12 A Multiple-Equations
Approach to Long-Term Forecasting 291 The Unconditional Long-Term
Forecasting: The BVAR Model 293 The BVAR Model with Housing Starts 296 The
Model without Oil Price Shock 298 The Model with Oil Price Shock 304
Summary 306 Chapter 13 The Risks of Model-Based Forecasting: Modeling,
Assessing, and Remodeling 307 Risks to Short-Term Forecasting: There Is No
Magic Bullet 308 Risks of Long-Term Forecasting: Black Swan versus a Group
of Black Swans 310 Model-Based Forecasting and the Great
Recession/Financial Crisis: Worst-Case Scenario versus Panic 314 Summary
315 Chapter 14 Putting the Analysis to Work in the Twenty-First-Century
Economy 317 Benchmarking Economic Growth 318 Industrial Production: Another
Case of Stationary Behavior 322 Employment: Jobs in the Twenty-First
Century 324 Inflation 331 Interest Rates 337 Imbalances between Bond Yields
and Equity Earnings 338 A Note of Caution on Patterns of Interest Rates 345
Business Credit: Patterns Reminiscent of Cyclical Recovery 347 Profits 348
Financial Market Volatility: Assessing Risk 349 Dollar 351 Economic Policy:
Impact of Fiscal Policy and the Evolution of the U.S. Economy 353 The
Long-Term Deficit Bias and Its Economic Implications 358 Summary 362
Appendix: Useful References for SAS Users 365 About the Authors 367 Index
369