Can I read Forecasting Non Stationary Economic Time Series on EtoBox?

Forecasting Non Stationary Economic Time Series by Michael P. Clements; David F. Hendry is a nonfiction available to read on EtoBox.

What is Forecasting Non Stationary Economic Time Series about?

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 (automa

Who reads Forecasting Non Stationary Economic Time Series?

Author

Michael P. Clements; David F. Hendry

Publisher

The MIT Press : John Wiley and Sons Ltd (UK)

Published

1999

Language

EN

ISBN

9780262270489

Category

nonfiction

Subjects

Economics, Social Science, Finance