Coverart for item
The Resource Forecasting non-stationary economic time series, Michael P. Clements and David F. Hendry, (electronic resource)

Forecasting non-stationary economic time series, Michael P. Clements and David F. Hendry, (electronic resource)

Label
Forecasting non-stationary economic time series
Title
Forecasting non-stationary economic time series
Statement of responsibility
Michael P. Clements and David F. Hendry
Creator
Contributor
Subject
Language
eng
Summary
Annotation:
Cataloging source
DLC
http://library.link/vocab/creatorName
Clements, Michael P
Dewey number
330/.01/51955
LC call number
HA30.3
LC item number
.C58 1999
http://library.link/vocab/relatedWorkOrContributorName
Hendry, David F
Series statement
Zeuthen lecture book series
http://library.link/vocab/subjectName
  • Time-series analysis
  • Economic forecasting
Summary expansion
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
Label
Forecasting non-stationary economic time series, Michael P. Clements and David F. Hendry, (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references and indexes
Control code
OCM1bookssj0000156846
Dimensions
unknown
Isbn
9780262032728
Isbn Type
(hc : alk. paper)
Lccn
99022998
Specific material designation
remote
System control number
(WaSeSS)bookssj0000156846
Label
Forecasting non-stationary economic time series, Michael P. Clements and David F. Hendry, (electronic resource)
Publication
Bibliography note
Includes bibliographical references and indexes
Control code
OCM1bookssj0000156846
Dimensions
unknown
Isbn
9780262032728
Isbn Type
(hc : alk. paper)
Lccn
99022998
Specific material designation
remote
System control number
(WaSeSS)bookssj0000156846

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