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Forecasting non-stationary economic time series /

by Clements, Michael P; Hendry, David F.
Material type: materialTypeLabelBookSeries: Zeuthen lecture book series: Publisher: Cambridge, Mass. : MIT Press, c1999Description: xxviii, 362 p. : ill. ; 24 cm.ISBN: 0262032724 (hc : alk. paper).Subject(s): Time-series analysis | Economic forecasting -- Statistical methods | Time-series analysis | Economic forecasting -- Statistical methods
Contents:
Economic Forecasting -- Forecast Failure -- Deterministic Shifts -- Other Sources -- Differencing -- Intercept Corrections -- Modeling Consumers' Expenditure -- A Small UK Money Model -- Co-breaking -- Modeling Shifts -- A Wage-Price Model -- Postscript.
Review: "In their second book on economic forecasting, Michael P. Clements and David F. Hendry ask why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to economic forecasting, they look at the implications for causal modeling, present a taxonomy of forecast errors, and delineate the sources of forecast failure.Summary: They show that forecast-period shifts in deterministic factors - interacting with model misspecification, collinearity, and inconsistent estimation - are the dominant source of systematic failure. They then consider various approaches for avoiding systematic forecasting errors, including intercept corrections, differencing, co-breaking, and modeling regime shifts; they emphasize the distinction between equilibrium correction (based on cointegration) and error correction (automatically offsetting past errors). Finally, they present three applications to test the implications of their framework.Summary: Their results on forecasting have wider implications for the conduct of empirical econometric research, model formulation, the testing of economic hypotheses, and model-based policy analyses."--BOOK JACKET.
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Last Updated on September 15, 2019
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