Forecasting Economic Time Series - Couverture rigide

Clements, Michael; Hendry, David

Couverture rigide

ISBN 10 : 0521632420 ISBN 13 : 9780521632423

Editeur : Cambridge University Press, 1998

Synopsis

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.

A propos du livre

À propos de l?auteur

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Détails de l'édition

• Éditeur: Cambridge University Press
• Date d'édition: 1998
• Langue: anglais
• ISBN 10: 0521632420
• ISBN 13: 9780521632423
• Reliure: Relié
• Nombre de pages: 392
• Coordonnées du fabricant: non disponible
• Personne responsable: Avery; https://www.avery.fr/; ; chemin des peupliers 27; Dardilly; France