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- catalog abstract ""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.".
- catalog contributor b11335814.
- catalog contributor b11335815.
- catalog created "1999.".
- catalog date "1999".
- catalog date "1999.".
- catalog dateCopyrighted "1999.".
- catalog description ""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.".
- catalog description "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.".
- catalog description "Includes bibliographical references (p. 327-345) and indexes.".
- catalog description "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.".
- catalog extent "xxviii, 362 p. :".
- catalog identifier "0262032724 (hc : alk. paper)".
- catalog isPartOf "Zeuthen lecture book series".
- catalog issued "1999".
- catalog issued "1999.".
- catalog language "eng".
- catalog publisher "Cambridge, MA : MIT Press,".
- catalog subject "330/.01/51955 21".
- catalog subject "Economic forecasting Statistical methods.".
- catalog subject "HA30.3 .C55 1999".
- catalog subject "Time-series analysis.".
- catalog tableOfContents "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.".
- catalog title "Forecasting non-stationary economic time series / Michael P. Clements and David F. Hendry.".
- catalog type "text".