Leader00832cam a22002764i 4500
008120405s1999 us 001 0 eng
020 a: 0262032724
035 a: (LB) 1007658
040 a: DLCd: LB
041 a: eng
080 a: 330
1001 a: Clements, Michael P.
24510a: Forecasting Non-stationary Economic Time Seriesc: Michael P. Clements, David F. Hendry
260 a: Cambridgeb: MIT Pressc: 1999
300 a: XXVIII, 362 p.b: ill.
440 0a: Zeuthen Lecture Book Series
504 a: Includes bibliographical references and indexes
695 a: Time-series analysis
695 a: Economic forecasting
695 a: Ekonomikas prognozēšana
7001 a: Hendry, David F.
941 b: 2007-12-14T14:36:21c: 1
996 a: BA


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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.

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