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Essays in forecasting

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TypeOfResource
Text
TitleInfo (ID = T-1)
Title
Essays in forecasting
Identifier
ETD_1632
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000051172
Language
LanguageTerm (authority = ISO639-2); (type = code)
eng
Genre (authority = marcgt)
theses
Subject (ID = SBJ-1); (authority = RUETD)
Topic
Economics
Subject (ID = SBJ-1); (authority = ETD-LCSH)
Topic
Macroeconomics
Subject (ID = SBJ-1); (authority = ETD-LCSH)
Topic
Economic forecasting
Abstract
This dissertation comprises three essays in macroeconomic forecasting. The first essay discusses model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. Particular emphasis is placed on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error on the class of test statistics with limiting distributions that are functionals of Gaussian processes. Results of an empirical investigation of the marginal predictive content of money for income are also presented.
The second essay outlines a number of approaches to the selection of factor proxies (observed variables that proxy unobserved estimated factors) using statistics based on large sample datasets. This approach to factor proxy selection is examined via a small Monte Carlo experiment and a set of prediction experiments, where evidence supporting our proposed methodology is presented.
The third essay compares the predictive content of a set of macroeconomic indicators with that of various other observable variables that act as proxies to factors constructed using diffusion index methodology. The analysis suggests that certain spreads constructed as the difference between short or long term debt instruments and the federal funds rate are found to be useful indicators. Surprisingly, traditional spreads, such as the yield curve slope and the reverse yield gap are not found to provide additional predictive power.
PhysicalDescription
Form (authority = gmd)
electronic resource
Extent
x, 123 p. : ill.
InternetMediaType
application/pdf
InternetMediaType
text/xml
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references (p. 115-122)
Note (type = statement of responsibility)
by Nii Ayi Christian Armah
Name (ID = NAME-1); (type = personal)
NamePart (type = family)
Armah
NamePart (type = given)
Nii Ayi Christian
NamePart (type = date)
1980
Role
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author
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Nii Ayi Christian Armah
Name (ID = NAME-2); (type = personal)
NamePart (type = family)
Swanson
NamePart (type = given)
Norman
Role
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chair
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Advisory Committee
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Norman Rasmus Swanson
Name (ID = NAME-3); (type = personal)
NamePart (type = family)
Klein
NamePart (type = given)
Roger
Role
RoleTerm (authority = RULIB); (type = )
internal member
Affiliation
Advisory Committee
DisplayForm
Roger Klein
Name (ID = NAME-4); (type = personal)
NamePart (type = family)
Landon-Lane
NamePart (type = given)
John
Role
RoleTerm (authority = RULIB); (type = )
internal member
Affiliation
Advisory Committee
DisplayForm
John Landon-Lane
Name (ID = NAME-5); (type = personal)
NamePart (type = family)
McCracken
NamePart (type = given)
Michael
Role
RoleTerm (authority = RULIB); (type = )
outside member
Affiliation
Advisory Committee
DisplayForm
Michael McCracken
Name (ID = NAME-1); (type = corporate)
NamePart
Rutgers University
Role
RoleTerm (authority = RULIB); (type = )
degree grantor
Name (ID = NAME-2); (type = corporate)
NamePart
Graduate School - New Brunswick
Role
RoleTerm (authority = RULIB); (type = )
school
OriginInfo
DateCreated (point = ); (qualifier = exact)
2009
DateOther (qualifier = exact); (type = degree)
2009-05
Place
PlaceTerm (type = code)
xx
RelatedItem (type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
RelatedItem (type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier (type = local)
rucore19991600001
Location
PhysicalLocation (authority = marcorg); (displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier (type = doi)
doi:10.7282/T3XD11W2
Genre (authority = ExL-Esploro)
ETD doctoral
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The author owns the copyright to this work.
Copyright
Status
Copyright protected
Availability
Status
Open
RightsEvent (AUTHORITY = rulib); (ID = 1)
Type
Permission or license
Detail
Non-exclusive ETD license
AssociatedObject (AUTHORITY = rulib); (ID = 1)
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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Technical

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ETD
MimeType (TYPE = file)
application/pdf
MimeType (TYPE = container)
application/x-tar
FileSize (UNIT = bytes)
706560
Checksum (METHOD = SHA1)
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