SFEP

Smooth Forecasting of Evolutionary Panels

 Coordinatore UNIVERSITEIT MAASTRICHT 

 Organization address address: Minderbroedersberg 4-6
city: MAASTRICHT
postcode: 6200 MD

contact info
Titolo: Ms.
Nome: Karin
Cognome: Van Den Boorn
Email: send email
Telefono: +31 43 388 38 33
Fax: +31 43 388 4874

 Nazionalità Coordinatore Netherlands [NL]
 Totale costo 154˙548 €
 EC contributo 154˙548 €
 Programma FP7-PEOPLE
Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013)
 Code Call FP7-PEOPLE-2009-IEF
 Funding Scheme MC-IEF
 Anno di inizio 2010
 Periodo (anno-mese-giorno) 2010-08-01   -   2012-07-31

 Partecipanti

# participant  country  role  EC contrib. [€] 
1    UNIVERSITEIT MAASTRICHT

 Organization address address: Minderbroedersberg 4-6
city: MAASTRICHT
postcode: 6200 MD

contact info
Titolo: Ms.
Nome: Karin
Cognome: Van Den Boorn
Email: send email
Telefono: +31 43 388 38 33
Fax: +31 43 388 4874

NL (MAASTRICHT) coordinator 154˙548.80

Mappa


 Word cloud

Esplora la "nuvola delle parole (Word Cloud) per avere un'idea di massima del progetto.

stationary    series    smooth    assumption    economic    model    structural    structure    theoretical    time    forecasting    dimension    break    stationarity    data    abrupt    financial   

 Obiettivo del progetto (Objective)

'The main goal of this project is to develop theoretical and applied research on forecasting economic and financial data, whose structure changes over time. The classical theory of forecasting is well developed under the assumption that the data generating process is stationary over time. Put loosely, stationarity means that the properties of the underlying model do not change through time. Economies are manifestly non-stationary for many reasons, and in particular, are subjected to structural changes. This can lead to huge forecasting errors and unreliability of the model in general. For example, structural instability pervades many representative Post War US macroeconomic time series, and the forecasting relations that exist between those series. The so-called structural break model is based on the assumption that the breaks occur over time in an abrupt way. The disadvantage of modeling non-stationarity by means of a structural-break model is that the exact moment when the break occurs is unknown and often difficult to detect. An alternative way to specify the non-stationarity is based on the assumption that the changes in the structure of the data are not abrupt but smooth. In addition to non-stationarity, these time series can be highly correlated, which motivates the use of dimension-reduction techniques. Linear factor models have attracted considerable interest over recent years because of the intuitively appealing idea to explain a panel with a large number of time series by a few common latent factors. In our PhD thesis (see Motta 2009) we developed for the first time a theoretical framework to model economic and financial time series whose behavior is characterized by smooth evolutions of the dynamics and a factor structure. In this project we intend to go further and develop the forecasting dimension. The forecasting of how interest rates will develop, for example, can function as an early warning system for economic crises.'

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