Forecasting non-stationary economic time series / Michael P. Clements and David F. Hendry. [electronic resource]

Format:

Book

Author/Creator:

Clements, Michael P.

Contributor:

Hendry, David F.

Series:

Zeuthen lecture book series

Language:

English

Subjects (All):

Time-series analysis.

Economic forecasting--Statistical methods.

Economic forecasting.

Physical Description:

1 online resource (xxviii, 362 p. ) ill. ;

Place of Publication:

Cambridge, MA : MIT Press, 1999.

Language Note:

English

Summary:

"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. 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. 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."--Jacket.

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.

Notes:

Includes bibliographical references (p. 327-345) and indexes.

Bibliographic Level Mode of Issuance: Monograph

ISBN:

0-262-27048-X

0-585-11192-8