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CRETA Workshop on Advanced Econometrics 11_Professor M. Hashem Pesaran - 28 October 2011, Lecture Hall 103, Bldg. 2, College of Management
CRETA is honored to invite Professor M. Hashem Pesaran from University of Cambridge as visitor on Oct 28. During his visit, Prof. Pesaran will lecture on Optimal Forecasts in the Presence of Structural Breaks on CRETA Workshop on Advanced Econometrics 11. The workshop is due to take place on Oct. 28 (Fri.) at Lecture Hall 103, 1F, Bldg. 2, College of Management, NTU (台大管理學院二號館 1 樓 103 教室). All participants are welcomed! Please be sure to register your attendance online by noon, Oct. 26(Wed.).
*Date: Oct.28(Fri.), 2011, 14:00 pm – 16:00 pm
*Venue: Lecture Hall 103, 1F, Bldg. 2, College of Management, NTU
(台大管理學院二號館 1 樓 103 教室)
Optimal Forecasts in the Presence of Structural Breaks
(當天將開放現場繳交台灣經濟計量學會 2012 年年度會費)
The paper considers alternative approaches to taking account of structural breaks in forecasting, and derives weights for observations in weighted least square regressions that lead to optimal forecasts in the presence of breaks. Analytical expressions are provided in the case of a single regressor. For more complicated models asympotically valid weights are provided as well as exact weights that can be computed numerically. In the case of a single break it is shown that the value of the optimal weight is the same across observations within a given regime and differs only across the regimes. The analysis is also generalized to the case of multiple breaks. The forecasts based on optimal weights are shown to be superior to forecasts from post-break estimation windows, optimal estimation windows, averaging across estimation windows and exponential smoothing. In practice where information on structural breaks is uncertain a robust optimal weight forecasting procedure is proposed, and a number of empirical applications are provided.
Professor M. Hashem Pesaran is a one of the most prestigious economist to the world, who is currently Professor at the Faculty of Economics at the University of Cambridge and a Professorial Fellow of Trinity College, Cambridge. He holds the fellowship of the British Academy, the Econometric Society, and also the Journal of Econometrics.
Prof. Pesaran has over 130 publications in leading scientific journals in the areas of econometrics, empirical macroeconomics and the Iranian economy, and is an expert in the economics of Oil, the Middle East, and other emerging regions.
Prof. Pesaran’s diligent effort and extraordinary insight have been recognized with honors such as the 1992 Royal Economic Society Prize for the best article and the Econometric Reviews Best Paper Award 2002-2004.
Besides the profession experience of head of the Economic Research Department of the Central Bank of Iran and the Director of the Applied Econometrics Program at UCLA, Prof. Pesaran devotes much in academic enhancement by participating in the founding of the Journal of Applied Econometrics and by co-developing Microfit, a widely-utilized econometric software package.
Oct.28 (Fri.) Lecture Hall 103, 1F (一樓 103 教室)
15:30-16:00: Tea Time and Discussion
*Lectures in English