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Item Details
| Title:
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FORECASTING ECONOMIC TIME SERIES
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| By: |
Michael Clements, David F. Hendry |
| Format: |
Paperback |
| List price:
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£44.99 |
| Our price: |
£39.37 |
| Discount: |
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| You save:
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£5.62 |
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| ISBN 10: |
0521634806 |
| ISBN 13: |
9780521634809 |
| Availability: |
Usually dispatched within 1-3 weeks.
 Delivery
rates
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| Stock: |
Currently 0 available |
| Publisher: |
CAMBRIDGE UNIVERSITY PRESS |
| Pub. date: |
8 October, 1998 |
| Pages: |
392 |
| Description: |
An extended formal analysis of economic forecasting co-authored by one of the world's leading econometricians. |
| 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. |
| Illustrations: |
43 tables |
| Publication: |
UK |
| Imprint: |
Cambridge University Press |
| Returns: |
Returnable |
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