The problem of multicollinearity in the assessments of coefficients is well established. However, it is rarely researched in the estimations of macroeconomic variables and economic performance of developing countries. Predicatively, it has impacts on the estimations of coefficients that should...

This article is concerned with frequency-domain analysis of dynamic linear models under the hypothesis of rational expectations. We develop a unified framework for conveniently solving and estimating these models. Unlike existing strategies, our starting point is to obtain the model solution...

Star variables, such as potential output and the neutral real interest rate, are fundamental to economic policymaking but challenging to identify due to their latent nature. Buncic, Pagan, and Robinson (2023) highlight the difficulty of identifying star variables within short macroeconomic...

At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Surveys show that the mean absolute percentage error (MAPE) is the most widely used measure of forecast accuracy in businesses and organizations. It is however, biased: When used to select among competing prediction methods it systematically selects those whose predictions are too low. This is...

The topic of this chapter is forecasting with nonlinear models. First, a number of well-known nonlinear models are introduced and their properties discussed. These include the smooth transition regression model, the switching regression model whose univariate counterpart is called threshold...

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....

This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...