Forecasting Non-Stationary Economic Time Series (Zeuthen Lectures)

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9780262531894: Forecasting Non-Stationary Economic Time Series (Zeuthen Lectures)
Review:

"Clements and Hendry provide an important service by systematically isolating and analyzing various potential sources of forecast error in econometric models used in forecasting....This book takes important steps toward closing the gap between the theory and practice of macroeconomic forecasting." - John Robertson, The Economic Journal"

From the Publisher:

Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries, and political turmoil. Macroeconometric models are a very imperfect tool for forecasting this highly complicated and changing process. Ignoring these factors leads to a wide discrepancy between theory and practice.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.

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Clements, Michael P.; Hendry, David F.
Editorial: MIT Press
ISBN 10: 0262531895 ISBN 13: 9780262531894
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Clements, Michael P.; Hendry, David F.
Editorial: MIT Press Ltd, United States (2001)
ISBN 10: 0262531895 ISBN 13: 9780262531894
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Descripción MIT Press Ltd, United States, 2001. Paperback. Estado de conservación: New. Reprint. 224 x 150 mm. Language: English . Brand New Book. Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries, and political turmoil. Macroeconometric models are a very imperfect tool for forecasting this highly complicated and changing process. Ignoring these factors leads to a wide discrepancy between theory and practice.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. Nº de ref. de la librería AAH9780262531894

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Clements, Michael P.; Hendry, David F.
Editorial: MIT Press Ltd, United States (2001)
ISBN 10: 0262531895 ISBN 13: 9780262531894
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Descripción MIT Press Ltd, United States, 2001. Paperback. Estado de conservación: New. Reprint. 224 x 150 mm. Language: English . Brand New Book. Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries, and political turmoil. Macroeconometric models are a very imperfect tool for forecasting this highly complicated and changing process. Ignoring these factors leads to a wide discrepancy between theory and practice.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. Nº de ref. de la librería AAH9780262531894

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Descripción 2001. Paperback. Estado de conservación: New. 150mm x 19mm x 230mm. Paperback. Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries and political turmoil. Macroeconometric models are a very imperfec.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 314 pages. 0.513. Nº de ref. de la librería 9780262531894

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Descripción Mit Pr, 2001. Paperback. Estado de conservación: Brand New. reprint edition. 392 pages. 8.50x5.75x0.75 inches. In Stock. Nº de ref. de la librería __0262531895

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Descripción MIT Press, 2001. Paperback. Estado de conservación: New. 15.5 x 22.5 cm. Our orders are sent from our warehouse locally or directly from our international distributors to allow us to offer you the best possible price and delivery time. Book. Nº de ref. de la librería MM-60413851

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Descripción 2001. Paperback. Estado de conservación: New. 150mm x 19mm x 230mm. Paperback. Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries and political turmoil. Macroeconometric models are a .Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. 314 pages. 0.513. Nº de ref. de la librería 9780262531894

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