FORECASTING ECONOMIC TIME SERIES by Michael Clements, David F. Hendry ( 9780521634809 )

Item Details

Title:

FORECASTING ECONOMIC TIME SERIES

By:

Michael Clements, David F. Hendry

Format:

Paperback

List price:

£47.00

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£41.13

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£5.87

ISBN 10:

0521634806

ISBN 13:

9780521634809

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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:

Imprint:

Cambridge University Press

Returns:

Returnable

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A COMPANION TO ECONOMIC FORECASTING