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Forecasting Non-Stationary Economic Time Series

by David F. Hendry

  • ISBN: 9780262032728
  • ISBN10: 0262032724

Forecasting Non-Stationary Economic Time Series

by David F. Hendry

  • List Price: $68.00
  • Binding: Hardcover
  • Publisher: Mit Pr
  • Publish date: 09/01/1999
  • ISBN: 9780262032728
  • ISBN10: 0262032724
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Description: In their second book on economic forecasting, Michael Clements and David 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). 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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Product notice Returnable at the third party seller's discretion and may come without consumable supplements like access codes, CD's, or workbooks.
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Seller: Ergodebooks
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1999. Blue cloth covered boards with purple spine titles; jacket has light shelf wear; 8vo-over 7 3/4" to 9 3/4" tall; interior clean and unmarked; 362 pages.
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1999. Blue cloth covered boards with purple spine titles; jacket has light shelf wear; 8vo-over 7 3/4" to 9 3/4" tall; interior clean and unmarked; 362 pages.
Seller: Ergodebooks
Location: Houston,, TX Ask seller a question
Condition: New
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Seller: Bonita
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Access codes and supplements are not guaranteed with used items. May be an ex-library book.
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