TY  - BOOK
AU  - Clements,Michael P.
AU  - Hendry,David F.
TI  - Forecasting non-stationary economic time series
T2  - Zeuthen lecture book series
SN  - 0585111928
AV  - HA30.3 .C58 1999eb
U1  - 330/.01/51955 21
PY  - 1999///
CY  - Cambridge, MA
PB  - MIT Press
KW  - Time-series analysis
KW  - Economic forecasting
KW  - Statistical methods
KW  - Série chronologique
KW  - Prévision économique
KW  - Méthodes statistiques
KW  - BUSINESS & ECONOMICS
KW  - Econometrics
KW  - bisacsh
KW  - Statistics
KW  - fast
KW  - Tijdreeksen
KW  - gtt
KW  - Prognoses
KW  - Statistische methoden
KW  - Social Sciences
KW  - hilcc
KW  - Statistics - General
KW  - Electronic books
N1  - Includes bibliographical references and index; 1. Economic Forecasting -- 2. Forecast Failure -- 3. Deterministic Shifts -- 4. Other Sources -- 5. Differencing -- 6. Intercept Corrections -- 7. Modeling Consumers' Expenditure -- 8. A Small UK Money Model -- 9. Co-breaking -- 10. Modeling Shifts -- 11. A Wage-Price Model -- 12. Postscript
N2  - "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
UR  - https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=10720
ER  -