BREAKMETRICS · Forecasting Economic Time Series in Changing Environments
FP7 — People (Marie Curie Actions)
- Duration
- 2013-09-01 → 2017-08-31
- EU contribution
- €100,000
- Participants
- 1
- Scheme
- MC-CIG
Lines connect the coordinator with its partners.
Results in brief
Forecasting Economic Time Series in Changing Environments
What is management, whether it be a company, a not-for-profit association, or a municipality? It consists of anticipating events in the first place and taking appropriate action. This research project aims to innovate at the highest scientific level the way we think about anticipating events, or, so-called "forecasting". Currently, forecasters (individuals, companies, governments,...) often disregard gradual or abrupt changes in society. They often rely on their intuition, which tends to be anchored on the past (and is often influenced by others' viewpoints). Of course, this may cause severe forecast errors that may entail disruptions such as an excess workload for employees, bankruptcy, unavailable payment systems, higher unemployment, excessive health expenditures etc. We develop tools for systematic analysis of future events. Using data sets, we put forward forecasting techniques that explicitly incorporate changes in our environment. The general objective of this proposal is to improve economic forecasts with the help of evolutionary econometrics models, i.e. models that adapt to abrupt (or structural) changes in the economic environment, also called structural break or change-point models. The need for adaptive modelling is obvious in the light of the current economic conditions. Economic forecasting is essential for decision making with respect to fiscal and monetary policy, public spending, and investment. For example, the monetary transmission mechanism has long and uncertain lags. Therefore, monetary policy should be forward-looking. To effectively ensure price-stability, the central bank for example needs to make forecasts about the evolution of prices and output among others. When a structural break happens, conventional
Data: CORDIS, © European Union
Project objective
The general objective of this project is to improve economic forecasts with evolutionary econometric models, i.e. models that adapt to structural changes in the economic environment. They are also called change-point models. The need for these adaptive models is obvious in the light of the current economic downturn.Economic forecasting is essential for decision making with respect to fiscal and monetary policy, public spending, and investment. The three research objectives are theoretical and empirical. First, we will study and develop change-point models for time series. In fact, it is crucial to understand why and which change-point models seem to forecast well. Second, we will develop efficient Bayesian inference methods and software. Finally, we will provide a large variety of forecasting applications using European macroeconomic and financial data. To transfer knowledge to a forecasters, software and explanations to implement the models will be made available via a website.The contributions of this proposal will be substantial for academic researchers, and users of forecasting models in the public sector (for example the EU Commission, the European Central Bank, and national institutions) and the private sector. A better understanding of the economic and financial system together with more reliable forecasts of its variables should help the conduct of finer public policies and the design of more efficient and reliable financial markets. This is especially important in view of the changes likely to be triggered by the current economic depression. The output of this proposal will be reported in the best academic journals of the field.
Original text from CORDIS.
Participants
- ASSOCIATION GROUPE ESSEC · Cergy Pontoise CedexCoordinatorFrance
Links
Data: CORDIS, © European Union