Forecasting Economic Time Series

by
Format: Paperback
Pub. Date: 1998-11-28
Publisher(s): Cambridge University Press
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Summary

This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

Table of Contents

1. An introduction to economic forecasting
2. First principles
3. Evaluating forecast accuracy
4. Forecasting in univariate processes
5. Monte Carlo techniques
6. Forecasting in co-intergrated systems
7. Forecasting with large-scale macro-econometric models
8. A theory of intercept corrections: beyond mechanistic forecasts
9. Forecasting using leading indicators
10. Combining forecasts
11. Multi-step estimation
12. Parsimony
13. Testing forecast accuracy
14. Postscript.

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